I use AdAware , Spybot S&D , and Spyware Blaster , in conjunction with the McAfee suite (firewall, antivirus, etc) that my ISP provides. And the firewall built in to my router. With all that, I haven't had a problem in years.

But that link Marcus posted looks interesting to me. I'm going to have to try out some of those programs...

When in doubt, think about penguins. It probably won't help, but at least it'll be fun.