I usually try to do things in the following steps:
Step 1: Check add/remove programs for programs that you didn't install
Step 2: Check task manager, for strange programs that are running.
Step 3: run CWShredder
Step 4: run Spybot Search & Destroy
Step 5: run Spysweeper
Tips: Don't use internet explorer, its too popular, and because of that, it has a bigger "payload" use Mozilla.
Don't want to give up Internet Explorer:
Stay away from unsafe sites. Or surf using a proxy such as proxify.com
Don't install software or weird toolbars.
Run virus scan on anything you download.
Don't open up attachments sent by people you don't know.
Secure internet explorer settings:
http://www.microsoft.com/windows/ie/.../settings.mspx
Keep your computer up-to-date on patches, security updates.
Keep your antivirus & Spyware remover up-to-date.
Install a Firewall.
And if all fails, reformat, and switch to mozilla/avant/netscape...at this point anything is better than internet explorer.