Ad-aware is a great little program, but it's always pointing out tracking cookies that aren't really any threat at all. And Tassie Devil is right, if you're getting those little windows saying "Warning! Your computer may be overflowing with viruses!" you're just seeing ads. And probably more than a few of those things are going to try to install some sort of spyware on your system if you click on any links in the page.
AVG is ok, the only problem I have with it is that it updates every time you start up, which can take several minutes. I don't know about you, but I like my system to start up as fast as possible.
You can scan your system for free with
McAfee's Freescan . It's a scan only, no removal, and you have to be connected to the internet. Also uses ActiveX to scan the system, just so you are aware.