When trying to get rid of malware it's best, when you can, to disconnect from the internet (and network) and run the program from safe mode. This should stop any malware from starting up and allow for it to be removed.
Try Spybot S&D and Adaware The home of Spybot-S&D! Ad-Aware 2007 Free - Lavasoft
To get to IE internet tools, Alt+T if you can't see the menu. Also you can get to the IE internet options setting from the windows control panel.
Also if you are getting spyware it's either from your behavior - downloading malicious software, going to malicious website, opening email attachments etc. or vulnerabilities in your software.
Make sure your OS is up to date with the latest patches, make sure you are running the latest version of IE (7) and or switch to Firefox or Opera. Firefox web browser | Faster, more secure, & customizable Opera browser: Home page