There are a lot of misconceptions about adware to clear up before you look at how to clean it up.
What is adware?
It is any software that causes the display or download of advertising on a computer while the program is being used. What does that mean? Well, for starters it means that your favorite P2P or file sharing program could very well be adware.
The very first step in any adware cleanup is to open your control panel and go to add or remove programs. You've got to go through the list and look for anything suspicious. In my work, I always look for things like "Browser Helper," "Related Content," "Shopper Reports," or others like that. There are a thousand names for these programs, so it's kind of a guessing game at this point. Remove what is very, very obviously not something you intentionally loaded. It's also a good idea at this point to remove Kazaa, Bearshare, Ares, or Morpheus. They're notorious for bringing onto a machine.
The next thing to do is to get your hands on the hosts file blocker from MVPS.ORG. What does it do? The blocker tricks your computer into thinking that thousands of blacklisted (known to be bad) websites are being served right fro your computer. They're not, of course, so when a piece of adware tries to connect to one of those domains to load an ad, it won't work.
MVPS.ORG has a great tutorial on how to make this happen, and their blocker file is VERY comprehensive. You can read about it here: http://www.mvps.org/winhelp2002/hosts.htm.
Now that you've stemmed the flow a bit, go get Ad-Aware 2008 FREE from Lavasoft (SE is very outdated now, so try not to use it). Ad-Aware is the most consistently fast scanner and remover of this type of malware, in my experience. Spybot S&D gets a lot of reccomends, but I find it much slower and no more effective than Ad-Aware. You can download 2008 here: http://www.lavasoftusa.com/single/trialpay.php (make sure to click "continue to download free").
Install Ad-Aware, and launch it. You'll be prompted to update, so do that, then run a full scan. At most, it should take about 20 to 30 minutes. Now you've made a huge dent in the adware on your system if not removed it all.
Now go grab ToolbarCop from here: http://windowsxp.mvps.org/toolbarcop.htm . Toolbar cop checks your browser for addons like side-searches and search bars that shouldn't be there. It's a little friendlier than HiJack this for people that aren't experienced, so I strongly recommend it over HijackThis. The MVPS page contains a nice tutorial as well, so read up, then remove any suspicious toolbars.
You should be in good shape now! Adware usually isn't TOO hard to remove, so these tools should do the trick. What next? Keep it out!
The hosts file blocker itself will help greatly, but it's time to grab FireFox if you don't use it. Go to www.getfirefox.com and get it. Once it's done installing, you'll want to add the Ad-Block extension. Ad-Block is a champion at keeping out potentially adware-spawning content, so it's very helpful in keeping your computer from getting infected again. Find it here, along with a lot more about what it does: http://adblockplus.org/en/ .
My new favorite real-time defense tool is Spyware Terminator. I recently switched from Avast, and Terminator has a lot of features that make me glad I did. It has ClamAV integrated for virus defense, monitors registry changes, startup changes, and more - like Spybot, and it's very, very fast and effective at scanning, like Ad-Aware. Spyware terminator is definitely my preferred defense tool against adware.
It looks like a lot of work, sure, but it's really just 1. block 2. clean 3. prevent.
Follow the steps, and you'll be adware free!