Here's what I use, all programs completely free.
Spybot S&D
Spyware Blaster
Hijack This!
CWShredder
AVG antivirus free edition
Hijack This! has probably saved my butt so many times in the past. Recently I was attacked by some kind of spyware that actually hid ALL my spyware removal programs. It probably took me about 4 days just to finally get everything out. And it also would close IE out on me at random times. Then again it was pointless to even surf because it wouldn't let me leave the homepage that it put on IE.
After that I switched to Mozilla Firefox because I felt that IE was too vulnerable, which is true, most spyware seems to always look for IE and take it over.
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Ryan