On more than one occasion a customer has told me how they got messages that their PC was infected by spyware and that they should download a named program, for $39.99, and all their problems would be resolved. However, after downloading said program their problems got even worse. What had happened here was that the customer's machine had become infected with spyware and they were duped into buying a rogue anti-spyware program - a program that did nothing for the money they paid for it.
Currently the number of rogue anti-spyware programs outnumber legitimate ones by a factor of nearly 10 to 1, so its important to know what's what. The Spyware Warrior website carries a comprehensive list of those programs that are known to be, or strongly suspected of being rogue software. If you are thinking of buying anti-spyware software (or if you bought a package and are concerned over its credentials) I suggest paying a visit to this site. PC Medic recommends Counterspy, from Sunbelt Software, as an effective first line defense against spyware.