A really good site to get you up to speed is
http://www.bleepingcomputer.com/ This site has information and tutorials on many of the Anti-Spyware programs.
The problem with Microsoft Internet Explorer is the use of Active-X controls which many of the Spyware programmers use to install their Spyware. I have used Firefox an an alternative browser since it does not use Active-X controls. This is not to say that Firefox is immune to Spyware, but it seems Internet Explorer is more of a target since most people use this browser.
One program you should check out is Spywareblaster by JAVACOOL. This program does not detect or remove Spyware, so you may ask what good is it?
What this program does is prevent Spyware from being installed on your computer in the first place. Assume you have a clean scan using ADAWARE for example. Spywareblaster has a definition file that you download periodically just as Adaware. The definition file has listings of known browser hijackers, spyware, and harmful cookies. What this program does is set a "kill bit" in your registry which prevents these programs from being installed. The tutorial on bleepingcomputer goes in more detail.
This is important as anyone who has had Spyware loaded on their computer knows that in certain cases removal can be very difficult.