Spyware is a data-mining solution. Its installed to keep track of your habbits. Most likely it is just inserting your information into a mass database of alot of habbits its collecting for the marketing types.
It is howerver an invasion of privacey and should be outlawed but that is another topic. Just remove it, and check periodically for it, or get some nice tight security and your good.
Spy-ware is indeed a pain in the butt. But it also makes alot of programs free. At its best it will "spy" on your surfing habbits in order to present you with (popup) adds that may be of interest to you. Its all about the $$$.
http://www.lavasoftusa.com/ has a good "spy-ware" removal program. Mind you, the popular Kazaa has spyware too; The Kazaa Lite version does not contain the spy-ware, but it DOES need a (faked) spy-ware DLL for kazaa to function right.
Simply removing all spy-ware may render an application useless.