Okay, I can see that there are a lot of people who don't know what their computer is doing behind their backs. So let me tell you what the deal is and what programs are a must:
Disclaimer: Never install anything or run something unless you know what you're doing / what it is.
First off: Ad Aware of course,
http://www.lavasoftusa.com
This will scan and protect your computer from malascious spyware by safely removing it. This program is free, and it is a must.
Second: Zone Alarm,
http://www.zonelabs.com
This program protects your computer from unwanted access. For instance, let's say you have zone alarm running, and the gator program you did not know was installed on your computer wants to send information while you are on the internet. What happens is, Zone Alarm will alert you that the program is trying access the internet and you can stop it.
Essentially, Zone Alarm let's you choose what programs can / cannot have access to the internet, thereby stopping spyware from fulfilling its purpose. I reccommend Zone Alarm Pro if you wish to purchase it - It's well worth every penny, and the Pro version let's you block third party cookies, blocks pop-up ads, skyscraper ads, and more.
Zone Alarm is free, while Zone Alarm Pro has a free 30 day trial. This program is a must.
Third: Mail Washer,
http://www.mailwasher.net/
What this program does is it connects to your mailbox (even hotmail) and it lets you mark the mail that is spam. It then sends out a message to each of the spammers telling them that they have reached an invalid mail box. This will usually have the spammers remove you from their list and thus save you the issue of having spam mail (or at least reduce that problem.) It's a bit of work at first marking each spam mail, but it can reduce your spam by as much as 80% (I'm saying that from experience). This program is free.
Fourth: Window Washer,
http://www.webroot.com/wb/products/windowwasher/index.php
This program will clean your computer of any and all files you have downloaded while browsing the net. Let's say you went to a whole lot of sites where you get hundreds of cookies put on your system. (Cookies are also a form of spyware in many cases.) Well let's say you don't want to keep those cookies, but you do want to keep certain others. Window Washer will let you choose what cookies you want to keep, and it will delete the rest of the cookies from then on. So you can browse the net, log into the New York Times online without any problems after deleting all the other cookies, and feel safe. Window Washer will also clean out your Temporary Internet Files and History, as well as the index.dat file. Now you might be thinking that you can clean out these files manually through IE alone. What you might not know is that the index.dat file in IE cannot be deleted, wiped, or edited under a windows environment. (Index.dat file stores codes of every website you visit.) Window Washer bypasses this lock and safely cleans the file restoring it to the original status that it was. A great part of this program is that it will clean up lots of disk space, and do more than I even mentioned above. This program has a free 30 day trial. (Worth it just for the trial.)
Now regarding the Kazaa issue. Kazaa does require the ads and spyware to run. That's why you should never install Kazaa to begin with. Only install Kazaa Lite, or WinMX. WinMX has no spyware and works fine. Kazaa Lite is the exact same thing as Kazaa - it uses the same servers and everything. The only difference is, it doesn't have any of the spyware. You can find Kazaa Lite at
http://www.kazaalite.nl/ or at
http://doa2.host.sk/ .
Question: What exactly is spyware, how do I get it, and why do I need to worry?
Answer: Spyware is exactly what the name sounds like. It's software that helps companies spy on you. You see, companies like the Gator Corporation and Doubleclick.net are trying to find out what trends you have on the internet, and what your personal information is. Why would they want that? Well they don't want it - companies want it. So they gather this information through (unfortunately) legal means and then they sell it to companies who then send out advertisements to your email accounts. If they gather enough information they will mail it to you, call your house (telemarketing), and so on. Spyware can cause your computer to go slower, as well as mess with the settings and cause you to have many problems.
Spyware is capable of much more than I have just listed above, so don't take my word on that alone. Be safe when you browse the internet. Here's a few safety tips I think might help some out (they have been listed by a few users in the forum, thanks

)
1. Have a spammail account. I have one, it works perfect. I have a hotmail account that I use to register for any website I want to join, ie: New York Times, CNN, etc.
Only give out your real email to friends, business partners, etc.
2. Before you install anything, read the fine print. There are normally (by law) user agreements for any program you install on your computer. When installing the Divx 5.0 Pro player and codec, you might notice how it tells you that it is going to install the GAIN Network's software (Gator Corporation.) Always know what your'e putting on your computer before you install anything.
3. Browse the net safely. When you visit websites, don't be fooled by silly advertisements. Don't look at porn - those sites are the worst sites when it comes to pop ups and sending unwanted cookies.
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How do I know all this stuff? Am I pulling things out of my butt? Am I some sort of certified spyware / internet safety guy?
No. I'm no expert at this. I have done a few papers on hacking and internet privacy and spyware and so I have researched this topic quite thoroughly. There is much more to be said about cookies and spyware, but I think the basics should suffice.
Feel free to post some questions. I don't guarantee I'll know the answer to it, but I will try and help my best.