Removing adware and spyware
There are many anti-spyware utlilities out there, compared here.
and SpybBot Search & Destroy are the more popular,
and should be able to detect and remove most, if not all, the unwanted
software parasites that were installed on your system without your knowledge.
During audits it was found that the average windows installation does not have just the occasional malware, but rather dozens of them.
When dealing with a potentially compromised system, the only truly safe way of ensure it is clean of parasites is to re-install from known good media... which is time consuming, it is simply easier to ensure that it does not get infected in the first place.
Making it more secure
After making sure that your system is not infected, you will want to make sure that you stay free of these parasites.
The single most important thing you can do is to avoid Internet Explorer
There are some tools (qwikfix, winblox and others), measures, tweaks and practices that can improve your safety somewhat by mitigating the risks or generating alerts
However, securing the system as a whole (including all the other vulnerable software, often needed for some tasks) would take too much effort for an average user and often risks making the platform impractical or even unusable. As a consequence, the vast majority of systems are left totally insecure. If that is your case, make sure you have reliable and regular backups of your data.
In fact most average users are infected, spyed upon and abused, usually within minutes of connecting their windows system to the internet.
Using a firewall (as provided in XP SP2) is essential, but there are better firewalls than Microsoft's: ZoneAlarm and Sygate Personal Firewall (which is also free for personal use)
Obviously, Microsoft also has its own recommendations, including: