I agree I have NO spyware problems using IE6 sp/1 with all updates, XP SP2 with all updates, and javasoft spywareblaster protection. I run a scan every week with spybot and adaware and they always come up clean.
A lot people (as warez mentioned) simply do not look at the things they are downloading thus the toolbars appearing they just click click click. Give me a link to any site that you KNOW I will get infected with and I will tell you if I get hit with it. When I was TRYING to infect a computer (mind you with all updates listed above) to figure out which enterprise spyware solution we will purchase next I COULD NOT get infected as hard as I tried. Active X controls were being blocked left and right. I went the gain publishing website and it would not let any of there appz install and even went to the claria website and could not install any of those either.
The only way to infect it was to disable ALL security settings (accept all cookies, turn off all active X security etc etc).