If you have a router, you have a firewall. I wouldn't worry about using a software one.

Antivirus programs are not very good at finding spyware/adware/greyware programs, even if they say they are anti-spyware.

The best programs to use to combat spyware is Spybot Search & Destroy, Lavasoft Adaware or Superantispyware. You can find all of those at majorgeeks.com

what's a good software firewall for vista? i'm assuming the built in one is garbage.

Comodo Firewall.

http://www.download.com/Comodo-Firewall-Pro/3000-10435_4-10460704.html

Avast is shit. It's not a free antivirus, it's a free poor quality antivirus. And it's specially weak against these kind of adwarez; just a couple weeks ago I removed a similar malware from my room mate, who by the way was also using Avast at the time.

Here's what you should do: open the task manager and go through each of your process with a process database (there are some online) to identify the culprit. Once you do, use microsoft's tool for process managing to track the archive that spawned the process and just trash it.

edit with relevant links:

http://www.processlibrary.com/

http://technet.microsoft.com/en-us/sysinternals/bb896653.aspx

edit with suggestion:

migrate to linux or mac

Bitmap, most antivirus software is NOT anti-spyware software. Avast as an antivirus program isn't that bad though I do prefer Nod32, Kapersky or ClamAV.

Maybe I've been too harsh. Anyways, lavasoft's adware didn't pick up my room mate's malware neither =/

On my Windows box I use a mix of 2 anti-spyware apps (Adaware and Spybot S&D), 1 anti-virus (either of the 3 aforementioned but not all at once of course), 1 firewall (my router has a good one built in) and Firefox.

On my Linux box I use.....well, no need for any of that ( still use Firefox though).

I use adaware.  I'll ahve to mix in spybot.