Here is what I did: use adaware (freebie at lavasoftUSA.com)to identify the spyware pieces. Don't remove it as KaZaa won't work without it. Then use Zonealarm (another freebie) to deny internet access to the spyware. Good Luck!
There is a link somewhere on this site to a fake cydoor file that you can install so that you don't get the cydoor ads or such. it's called cd_clint.zip or cd_clint.dll I'm too lazy to look for it at the moment, it's been around for awhile under the name cydoor condom, but Kylie graciously posted it here and waddy had it on the front page a few days ago
... just a word on the Windows XP firewall.... for a free (included) product, it's not THAT bad, but it's not good either. If it actually cost money to buy seperately, then it wouldn't even be worth a dime.
Keep in mind... you can't customize anything, and it only blocks INBOUND traffic, NOT outbound. So, anything on your computer will be able to get out into the world once it gets in.