http://www.mcafee.com - Has been proven to be the best Anti-virus out there by many companies and survey groups.
Windows Firewall - doesn't stop ANYTHING.
1. I am guessing you have a Trojan on your PC or some sort of worm
2. If you have illegally downloaded ANYTHING you are most,lilley to have one or both of the above.
3. Download McAfee and use it. It will give you the directory and names of where the infected files or adware/spyware/trojan/etc is.
4. AS far as Spybot is concerened, the only thing it does is lag up your PC. You need a decent anti-virus to back it up, NOD32 is NOT one of those. NOD32 was created for home and familiy use for MINOR threats when working on the internet, this excludes downloading files from untrustful websites. One of the main anti-virus programs can help you there. i.e McAfee, Norton or AVG. People say they lag up your PC, well they do, as they scan everysingle task you preform, which maximises your overall protection.
5. If it comes down to having to format your drive. DO NOT BACKUP. This can spread the virus etc to other computers, or to the ewly formated drive.
EDIT: Forgot to add about the MP£ eating worm going about....that might be the cause of the WMP problem...