I've never run any firewall, antivirus, or antispyware programs except for the standard Windows firewall. Sometimes I get spyware, mainly when my roommates download BS programs, but that's where SpyBot comes in. I'm sure the other ones that K-61 suggested work great too, but SpyBot has always done fine for me. For the ones that it doesn't get, I just look them up on the google and find manual removal instructions. I never have popups for more than an hour or so, before they get zapped.
Oh, one more very important bit of advice for you: get Mozilla Firefox and use it instead of Internet Explorer. IE is the most BS browser around, the only reason it's popular is that it comes with Windows. Firefox is free, go to
http://www.mozilla.org and check it out. You'll notice than when running Firefox, if you have spyware, your popups will *still* show up through Internet Explorer, how funny is that. POS crap that Microsoft turns out. Only problem with Firefox is that some very few web pages won't look right in Firefox, and for those just use IE and then go back to Firefox when you're done.