I haven't tried the software Corey recommends, but I'm sure it's just as good as the one I use. It might be helpful to you to try out BOTH just in case one has a tough time finding what needs to be removed from your system. Go here:
http://www.lavasoftusa.com/software/adaware/
Download and install. Very easy. This software is absolutely free, updated often, extremely effective. The first time you run it you'll probably find dozens and dozens of spyware references. AdAware will quarantine these items, remove them from your system, and NOT allow them to ever return.
To date, AdAware hasn't failed me yet. I am vigilant with my PC, however -- I NEVER allow any installs of frivolous or "free" items: they're almost always spyware. I run AdAware about once a month. For me, most times there's nothing to quarantine and remove, but it's nice to know for sure so I run it anyway. This is also a good time to do a defrag, just to keep on schedule.
Go through the options the first time you run it. It's all pretty much self-explanatory. Use the help file or just Google AdAware for plenty of advice on running it.
You're right -- spyware often hides itself and won't show in Add/Remove Programs, but it's worth a look anyway. You may find some of the more "kind and thoughtful" spyware installs itself properly in the Program Files folder, so if you are familiar with your PC you may be able to locate the new, unusual folders and check to see if an uninstall program is offered. Usually not, though. I'm sure you know NOT to just delete a folder -- you'll have remnants left in your registry. AdAware and similar programs will purge the registry for you.
If you want, you can also head into Internet Options and remove the "install on demand" option. This will force IE to reject all installs offered by websites. Personally, I leave it on and just manually reject installs, but it's up to you.
My own personal rant... Windows allows for an option to appear which will allow a user to "trust all content" from whichever source is trying to send you junk. For example, a trusted company like Macromedia. Why the hell haven't they considered an alternate option to REJECT all future content from a specific source? I'd love to be able to block, say, XUpiter, an evil bit of spyware that shows up quite often when online. Get cracking on this, Gates!