Spyware is a particularly nasty form of malware (malicious software). It infects your computer with the purpose of stealing important information (such as IDs and passwords) and sending that information to someone who will use it to rip you off. As a result, I consider this the most dangerous form of malware.
There is a free program that detects and removes spyware. It is called Spybot Search & Destroy (www.safer-networking.org). As of early April of 2011, Spybot scans for almost 800,000(!) types of spyware.
You can get infected with spyware in a number of different ways. However one of the most insidious methods of infection is by browsing web sites that seem innocuous, but are riddled with spyware. One useful part of Spybot allows you to “immunize” your computer with a list of such web sites, which then silently stops you from being able to visit the contagious locations. Spybot has identified about 15,000(!) such sites and more are being identified every week.