Best advice is to stay off the internet. If you surf, you will get yourself infected sooner or later. Just a matter of time. Often Adaware and Spybot can fix it but sometimes not.
The thing about spyware, viruses and the like is that the people who make them are actively engaged in defeating whatever protections you may have in place.
You may not even know it if your system is infected with some nasty. You'll notice it sooner or later, though, when it gets so bogged down you can't do anything.
Best advice I've ever heard is to run Adaware and Spybot periodically and if/when stuff inevitably gets through that those programs can't deal with, simply do a reformat and clean install of your OS. This has worked well for me for years. If you use 98, 2000 or XP, it tends to get mucked up with assorted clutter, bloat and so forth after a while anyway so a fresh start every now and then is probably a good thing.
I have 2 internal hard drives. I downloaded Spybot (to start) on the 2nd HD--will that protect my whole PC or does each HD need it's own anti-spyware program?
I run Ad-Aware, the free version, and I'm very happy with it.
I don't think there's anything wrong with running multiple (different) spy sweepers. One may catch something the others miss.
I can't vouch for the others, but Ad-Aware (the free version) only sweeps on demand, it doesn't stay in memory. So you can run it, and then run something else afterward, without interference.
NP I actually have a subscription to SpySweeper that runs realtime, and use SuperAntiSpyware to back it up, particularly after hittin some heavily infected popups while deep sea trailer trawlin for porn. Together with Kaspersky, this salty smut boat has been a pretty reliable seadog.