Spyware is software that is supported by advertising. It is tracking software that is installed on your computer without your knowledge or permission. Often it is installed along with a program or it may be a tracking cookie place on your machine as you surf.
To clean your system of these snippets of code I suggest using a combination of both spybot-search & destroy and Lavesoft's Ad-aware. Each seems to catch some that the other does not. Both are free and downloadable from the net.
If you are running Windows Xp, another program that is kind of cool is xp-AntiSpy. :-)
I also recommend AnalogX's Script Defender, DHCPfix, and SuperShredder, your virus scanner (such as Norton) of choice, and ZoneAlarm.
EasyCleaner is also a good way to periodically clean the rest of the junk off of your system. And last but not least, Sisoft Sandra is an excellent program for overall performance and tweak issues.
These are all free except your virus scanner with most likely came with your machine. Do not forget to keep it updated though.
Just do a Google search on any of the above names. That should let you find the downloads.
Spyware is programming put on your computer by merchandisers, govts, whoever, and it reports you browsing to them. Aside from the privacy issues, it eats up processing power and slows everything down.