I use spyware blaster...what it does is basically block certain cookies that are tracking your movements etc...and it also blocks spyware as well. The little red eye will show up in internet explorer 6 when its blocked something. Its basically adding the bad sites is doesnt like to the privacy feature in internet explorer and setting them to block.
Also i would recommend using spybot as well as spyblaster...i also use spyware gaurd by javacool it stop hijack webpages changing your ie settings, it also stops you form downloading stuff you shouldnt (only spyware stuff of course
I dunno maybee i go over board on the protection but i aint had any spyware lately