Anti spyware solutions come in 2 flavours, free and paid for. Using automatic updates for your software is a key part of your protection so switch this option on.
I use Microsoft Windows Defender v2. This is a free download from the microsoft site or directly at http://www.microsoft.com/athome/security/spyware/software/default.mspx You do have to validate your copy of Windows to get the download so bear that in mind.
Don't like Microsoft then try Spyware Terminator out at http://www.computeractive.co.uk/vnunet/downloads/2165712/spyware-terminator
I used Software Doctor for 12 months but found that it's updates regularly required a reboot so I've just got Windows Defender installed now. Spyware Doctor is $30 + $20 per year subscription. The reviews on this software are universally good so if you suspect you have a problem it would be $30 well spent. It's also good practice to run more than one spyware detector product.
Malware takes many forms and protecting against it should be covered by a good Spyware program, an anti virus program and a firewall.
Keyloggers - These programs record all your key strokes and report this information back to the bad guys. Some operate specifically after you're logged into a secure site such as your bank.
Trojans - A program that sits awaiting a particular instruction either triggered by you of the bad guys. These can do pretty much anything from format your hard drive to send out viruses to your email address list.
Other Malware - These typically take the form of a program to send out Spam from your PC or a premium rate dialer. Your computer and internet connection can be used as a "Zombie" spam sender without your knowledge. There are thousands of threats, we've just covered the main ones here.
These are a fairly new threat and run inside your operating system and make changes to your registry to keep them undetected. Keeping your anti virus, spyware and firewall software up to date should protect against this threat.
There are anti rootkit software products, many are free. You'll find an excellent list here http://www.antirootkit.com/software/index.htm
Cookies are small text files kept on your PC and usually created by web sites to allow them to remember you and your preferences. It's very rare that these files will cause you security issues from trusted sites but if you're logging onto any site that's dodgy you will almost definitely be infected with a cookie you do not want.
These are usually spyware of some kind. Your spyware filter should pick these up and they can all be removed easily in windows. You can also use your browser security settings to stop cookies if you wish to.
I have my Internet Explorer. Opera and Firefox setting for cookies set to accept 1st party cookies but ask about 3rd party cookies. 3rd party cookies are usually advertisers or tracking cookies and I'd recommend you do not accept theses.
You can find your cookies in your local user file. The path for example may be C:\Documents and Settings\Alan Tomkins\Cookies