What is "Spyware"?
Spyware (also known as "adware," "malware," and "parasites") is a software program or text file that tracks where you go on the Internet and sends this information to marketers. This can slow down your computer, mess up your Internet access, cause you to see more pop-up ads, and prevent your computer from starting up or shutting down properly. Spyware is usually surreptitiously installed on your computer when you download and install “free” programs, such as free screen savers, the KaZaa music downloading program or the IncrediMail e-mail program, but it can also be installed on your computer just by visiting certain web sites.
Spyware is a problem that is getting worse and worse. Although there is legislation to ban it, like viruses, it's not something that's going to go away any time soon. You need to be aware of it and take steps to prevent it from infecting your computer.
Here's a great site that explains more about spyware (and another good site).