Have you tried Spybot? http://security.kolla.de/ If not download and you will be amazed at what it picks up.
http://www.staff.uiuc.edu/~ehowes/resource.htm#IESPYAD has a programme that places restricted sites in your registry, preventing unwanted cookies and other nasties accessing your PC.
http://www.simplythebest.net/info/spyware.html has tips and links for further security issues.