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Spyware Doctor is specifically a spyware tool, and won't protect you from viruses. For that you need AV software.
Spyware/adware = software that collects surfing habits, changes your homepage, causes pop-ups etc. Not debilitating unless there's a lot of it, but certainly annoying.
Viruses = worms, trojans, and other software designed specifically to attack your computer.
Malware = all harmful software (spyware and viruses).
You had a spyware infection, and Spyware Doctor + HijackThis took care of it. AVG didn't do anything because AVG is anti-virus -- spyware is outside of it's scope.
Panda comes in two varieties, and one only handles AV while the other is a more full-featured security suite. According to what I've heard they're both crap.
For spyware detection/removal, Spyware Doctor is supposed to be quite good. So sticking with that should be okay. For anti-virus, though, I strongly recommend sticking with AVG.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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