I've found that the best protection against practically all spyware and junk has been to switch to Firefox, myself. When I was using IE, AdAware would pick up around 30-50 random pieces of spyware a week. Most of them were tracking cookies, but there were a few other random things that would slip through.
Ever since I switched over to Firefox, though, the amount of junk that AdAware has had to clean up has really dropped off. I usually scan once every few months now, and find between 0-2 items.