Spyware is malicious software on your PC. In the worst case it captures your credit card details and provides them to criminals.
Most computers that connect to the internet have some spyware on them!
Download AVG from the Antivirus menu item, which will give you spyware protection aswell.
Another free product, Spybot Search & Destroy will provide additional protection and monitoring
http://www.safer-networking.org/en/spybotsd/index.html