If I can suggest something simple: go to the Internet Options panel, click the Privacy tab, and scoot the slider to Medium-High. Then hit the Advanced button and override automatic cookie handling. Allow first-party cookies, block third-party cookies. Clear out your existing cookies and temporary Internet files, go like that a while, and check with your spyware apps periodically. I think you'll like the result.
BTW if you're curious what impact this would have... I have a separate user account (a non-Admin account, naturally) on my Vista installation that I deliberately dragged through MSI's hacked Technical Support page about 5 or 6 times (using IE7). I had Javascript enabled, so the Javascript inserted into MSI's page did its thing, trying to send the browser to an avalanche of other sites in an apparent click-fraud scheme.
That user account also goes to a bunch of other hostile sites every day in the course of its duties. I ran Spybot S&D 1.4 and Ad-Aware SE Personal on that user account, to show the effect of the IE7 Privacy settings I'm suggesting.
screenshot of results :camera: You may need to force your browser to show this at full size if you want to read it.
As you can see, Ad-Aware SE Personal gives it a clean result.
The things Spybot found are bookmarks that I created myself. There's also one Avenue A tracking cookie. Again, I'm not trying to make out that cookies are dangerous, but if you don't like them, changing your Privacy settings is a great way to keep lots of them out.
Firefox used to be able to block third-party cookies too. That option seems to have vanished from the Options menu with the 2.x versions, but there's probably add-ons to control cookies if you like.