In my experience, Spybot is a little aggressive for the uninitiated. Recently we ran tests of all the antispyware programmes we could find, and some of them, including Spybot, frequently attempted to remove files that were necessary for the operation of Windows and Norton and McAfee programmes.
After hashing it all out, I noticed that the most experienced users elected to keep and use AdAware in conjunction with America Online's antispyware programme. Between the two of them, things seem to get handled correctly.
Believe it or not, the America Online programme that will be included in all future versions of the client software caught key loggers that no other programme was catching!