Ouch.
I'd run either Spybot Search & Destroy, and/or Adaware. They're both free and do great jobs. I run them both, and try to update them every few weeks.
If you have any sort of toolbar installed, ex. Yahoo toolbar, Google toolbar, pr0n toolbar, w/e. Uninstall it, those things are crap and spyware themselves. The ad's your getting are also spyware. They're just trying to scare you into buying their program.