All suggestions listed so far are good. Malwarebytes, Spybot, etc. are good are finding and removing malware. The trick is to make sure you get the malware process out of memory first. Either 1) Run task manager (taskmgr.exe) to find the offending process (if the malware will let you run it) and kill it. See if it reappears. Some of the smarter malware will see you trying to delete it and regenerate themselves. Then, run your favorite malware remover. Make sure that your are running the latest definitions. Or, 2) Boot into Safe Mode (with networking if you need to update the definitions) and run your malware remover. After cleaning you should reboot and run it again (to verify that you have removed it).
If you are comfortable using regedit (remember to backup the registry first before editing) there are some common locations malware installs itself so that it will execute (get into memory) when the computer boots. You should look (at least) in HKLM\Software\Microsoft\Windows\CurrentVersion\Run and HKCU\Software\Microsoft\Windows\CurrentVersion\Run. Some (not all) malware use this location to ensure that they are loaded into memory at system startup. If you see malware startup entries in either of these locations, delete those entries and the files they reference. You would do this after killing the process from memory and before running the Malware remover. This would help (no promises) keep the malware from being loaded into memory when you reboot the computer.
Some malware is very difficult to remove. The suggestion to reformat and start again is reasonable if you want to feel secure that your computer is indeed clean.
The key is prevention. Use a layered approach to securing your computer. Religiously apply operating system updates. Also, verify that all of your third party applications are updated also. Java and Adobe had serious security problems recently that were being actively used by malware. Secunia has some products (free for consumers) that can scan for vulnerabilities (
Consumer - Products). Don't visit "inappropriate" websites. Lots of malware comes from those sites. Run current A/V and keep it updated (daily).
I've had lots of luck lately using Kaspersky. I used to use McAfee, but the constant (daily) malware infections (under the users profile) caused me to look to other products. Kaspersky seems to be much better at *preventing* the infections.
I work IT (university) and deal with this on a daily basis.
Good luck.