Make sure you run spybot in Windows safe mode (F8 or F5 on bootup), then it can clean more files that when running in normal mode
Also, with regards to links. If you run your mouse over a link check at the bottom of the browser window to see where the link will actually take you. On forums such as this you can easily post a link to a harmless news website like
http://www.bbc.co.uk but actually be referred to a really really naughty site.
Move your mouse over the link I've posted to see what I mean
