Overclocking HQ has an article up on how to remove spyware, they go into a bit more advanced stuff than just running Ad-aware and Spybot. Something I've found out is that spyware now installs in the c:\winnt\downloaded program files folder, because this folder has a special view preference you can not change, so you will not see exe files in here.

Read the article on Overclocking HQ, and then see my comment for a few more tricks you can do.