Depending on your version of Spybot S&D, it will pop up a prompt saying it can't delete a file, do you want to run it at startup.. of course, tell it yes.
And as Poertner said, be sure to get the most recent updates. Some programs, especially CoolWebSearch, are notorious for releasing new versions to thwart spy/ad busting programs even at a rate of one per week. Depending on your version, the newest updates may help.
If you know when your problems started, you may be able to use system restore to roll back to a point before you had the adware installed.. if you do this be sure first thing you do is run windows update if you do this.. (sysrestore needs XP or ME, if I recall correctly.)
Hope this helps!