There’s also Ad-Aware (http://www.lavasoftusa.com/software/adaware/) which will scan your machine for spyware and let you delete it.
Finally, if you’re really technically minded you can download and install Privoxy (http://www.privoxy.org). It’s a proxy which will remove all ads from everywhere you browse, prevent all coookies and stop all pop-ups. Downside is that it will also remove JavaScript from most pages which could cause problems with online banking and a couple of other things.