First of all, you should understand what Spyware is. There are many types of spyware programs on the web. Most of them just report the usage of you Internet connection (what sites do you visit) to an advertising agency. This is, in most of the cases, harmless.
In the opposite corner, there are spyware applications that send private data to an owner regarding the keys pressed or worst, passwords and user accounts. This is commonly used to get Credit Card numbers. So it could get pretty dangerous if you don't take any measures against it.
For better understanding, I will try to briefly explain what are the effects of some known and commonly spread spyware.
- CoolWebSearch takes advantage of some security leaks in Internet Explorer. It redirects all web traffic to specific sites.
- DyFuCa redirects all Internet Explorer error pages to specific web addresses.
As you can see, these are not really dangerous for the computer, but they load up the system resources and simply annoy the user.
You should also be aware of that you can get spyware by simply installing trusted applications. There are a number of programs that "hide" inside the installation package spyware. Best examples are Kazaa, BearShare, WeatherBug, latest version of BSP. Best example is Sony's Extended Copy Protection that involved the installation of spyware from audio CDs when autorun was used.
Another spyware that is very spread is with the use of toolbars in Internet Explorer (I don't refer to Google Toolbar or Yahoo here). There are many services that besides "helping you", they send unauthorized data to the Internet. This includes statistics about your traffic, what files do you have or what applications you use. Take a look at the picture below to get a clue of what spyware toolbars are:

Another kind of spyware simply launches popup windows at specific times sending some fake alarms like "You have a virus. Go to (website) in order to remove it". An example is the window below:



You probably are infected with spyware if:
- Internet Explorer starts on a home-page that was not set by you
- Your browser is slower than usual
- You get redirected from time to time (or always) to specific pages that were not requested by you
- You get annoying messages periodically telling that you have a security problem, a virus, or just advertising any site or product

In the hope I managed to scare you because you probably recognise some of these symptoms, let's see how you can disinfect your computer.
Even though this looks scary, removing spyware is a very easy task.
For a start, you should start using Mozilla Firefox since it is the safest way to surf the net. They fixed many of the vulnerabilities that allowed spyware to infect your PC (that can be found in many commonly used browsers).
After that, you should get some disinfection tools. They work by launching threads in your system and capture any response or abnormal behaviour that resembles with a known pattern. That's why it is good to update as often as possibly (even daily) ; you need to have the latest list of patterns. I personally recommend two of them used together.
1) SpyBot Search&Destroy is a powerful tool that searches and removes any known Adware and spyware. You can get it from HTTP://www.spybot.info/ It runs thousands of bot checks and also has a tool that immunizes the system, blocking all known possible malicious software. To do this, first to a scan on your system than go to Immunize in the left panel and set the settings like shown bellow:




2) Another powerful tool is Ad-aware SE Personal. You can get it from http://www.lavasoftusa.com/ . It works pretty much like SpyBot does, but has some extra features like system-file scanning (antivirus behaviour).



For best protection, I strongly recommend to use both of them. Note that these two products are freeware so they can be used without any costs.
To prevent from getting infected, try using safer browsers like Firefox. Avoid links that look suspicious because accessing sites can put spyware on your computer.

This is also a free antispyware software :  spyware terminator , you can download it from:

www.net-gates.com/spywareterminator.exe