I agree, Spybot, AVG, are great programs. Another good spyware program is called Bazooka spyware scanner.
Do you have a firewall? You wont believe how many hackers are randomly probing for open ports on your computer.
( I can see the remarks coming.
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Windows XP's firewall only protect you from incoming stuff, if you allready have something on your system it does no good. A better (free) firewall is Zone Alarm.
After that you will need a program to clean up your registry. Try looking at Tucows.com for one.
Next you need to see what is running in the background. First look in Start-Programs-Startup.
Consider anything you really don't need to have running all the time and delete the entry.
Those are the easy fix's.