Do research before you buy!
Many people have the misconception that they can buy any Anti-spyware product on the market and they will be protected. This is wrong.

A recent shutdown of a anti-spyware company, Trustsoft, proves my point.

Trustsoft is being accused of providing a false product to customers with legitimate spyware concerns.

Spykiller, a widely distributed product on the internet is the perp. Trustsoft would put ads on the internet claiming that they had scanned a consumer's computer remotely and spyware had been detected. Unsuspecting consumers would click on the ad which offered a free full scan, then they would proceed to download spykiller which would "scan" their computer and claim that it had found spyware on the consumers computer. In reality, no spyware was found. It would then offer to "clean" the consumer's computer with the purchase of the product for $39.95.
Also, trustsoft would add consumer's e-mail to SPAM lists in which the consumer could not "opt-out" of those list, a clear violation of recently passed anti-spam laws.
http://www.ftc.gov/opa/2005/06/trustsoft.htm

Before purchasing any software for your computer, do research. A good idea is to google the product's name and read reviews by fellow computer users. If the product does not work, you will find many negative reports. A few negative reports are normal from uninformed computer users who expect a product to work right out of the download and without any updates. It is extremely important to keep any security products you buy continually updated. But if you continually find negative reports, it's a good idea to stray away from that product.

But the best idea is just to go with trusted products that have good track records and are well known. McAfee, Microsoft Anti-spyware, and Ad-Aware are your best bets for Anti-Spyware and are recommended by computer experts everywhere.
You may download Ad-Aware free here