Aragon: I have heard that some spyware programs hide in the system restore and windows update "stuff". I haven't verified this, its just what I heard.
Microsoft has come out with a great tool to help protect against spyware, browser hijacks. It has a reaaly cool feature called "System Explorers". It will let you view and modify settings that are normally hidden and difficult to change. Some of them include Downloaded ActiveX controls, running processes, Startup programs, IE helper objects, IE toolbars, Winsock LSP's, and Shell Execute Hooks.