Ad-Aware and Spybot are two great programs, but you need other things to prevent continuous infection. First and formost: A firewall. I'm not sure if you have one or not, but if you don't, get one! Norton and Zone Alarm are two, Zone Alarm being the free one. There are other, possibly better free firewalls, but those I don't have much knowledge of. A second priority is to secure your browser. Now, while I can give you a long, drawn-out guide to securing Internet Explorer (Which I am going to assume you use), I suggest downloading and installing Firefox, which is, right off the installation, vastly more secure than IE. Find it at:
http://www.mozilla.org/products/firefox/
Secondary steps to ensure protection: Grab Javacool's Spywareblaster, a nifty little program that stops spyware before it can infest your hard drive. Find at
http://www.javacoolsoftware.com/spywareblaster.html
Now, in order to clean out your computer, be sure Ad-Aware and Spybot are up to date, latest version and latest spyware definitions. Do a scan with them. Delete all you find. If the DLLs that won't delete are shown as being VX2 variants, then you a) have not upgraded to Ad-Aware SE 1.05 OR, you have a serious problem. Ad-Aware SE 1.05 does remove versions of VX2 that older versions did not get, but if it cannot, I will have to walk you through a complicated process to manually delete them outside of WIndows. Let me know if that is the case.
Anywho, there are two other things to check: HijackThis and CWShredder. Both are found here:
http://www.spywareinfo.com/~merijn/downloads.html
CWShredder removes variants of the coolwebsearch bug, a nasdty and hard to kill spyware monster. It only need to be run once. HijackThis is more complicated: it targets BHOs, or Browser Helper Objects. Some are benign, but many are bad. HijackThis gives you a list of BHOs installed and the option to remove some of them. Before you try to use this, do everything else above. If that does not clean your computer out completely, let me know and I will walk you through the process.
Phew. A lot to read, eh? Email me with any questions you have: