To add to the above wisdom, one way to substantially reduce your exposure to spyware is to switch Firefox for your browser.
A fair bit of the spyware out there uses ActiveX as the infection path, and Firefox does not automatically run ActiveX scripts the way that IE does.
Before I made the switch to Firefox, a 2-weekly scan with Adaware would usually turn up 15-20 items for removal. Post-firefox it seems rare for it to find anything at all except for lists of last-opened files and the like.
