Microsoft released the beta of its anti-spyware solution on 6th January. Like always, MS folks didn't build this product from scratch. On December 16th, MS acquired GIANT Company Software, Inc. Pretty fast? Acquire a company and release a new product in 20 days!
There are two existing free products in this category, both of which are very good. LavaSoft gives Ad-Aware Personal Edition free of cost. By the way, LavaSoft is a Swedish company. The other complementary software is Spybot Search & Destory.
It's good to run these two from time to time, specially if you get annoying popups or other strange behavior on your machine.