StGermain, click on the link in RealityChuck’s post above. It has excellent info on spyware, malware, scumware, and parasites etc.
In this case what you don’t know can hurt you.
Adaware is a great free app (they have a paid version as well) that will help you to rid your PC of these pests. SpyBot Search and Destroy is also free and makes a great companion to Adaware. They both overlap a bit but each can find things that the other can’t. Running these two apps in combination will go a long way toward keeping your information from being used by others.
Zone Alarm is a great free firewall (they also have a paid version which adds a few bells and whistles). I would HIGHLY recommend that you choose a good firewall package and install it.
There are many programs out there some are really good, some are nearly worthless. The above 3 are all highly rated and respected. If you are not running a virus scanner you should probably look into one of those as well. That means as many as 4 programs to install and learn to use but they are all fairly straightforward and simple to use.
You can’t be too careful these days.