Do a detailed check of your browser history.
They install a wide assortment of DLLs and other executables files.
They send a continuous data stream to the parent marketing company out from your computer and leave a backdoor open for hackers to either intercept your personal data or enter your computer.
They can install other programs directly on to your computer without your knowledge.
They can send and receive cookies to other adware/spyware programs and invite them into your computer (even if you have cookies disabled.)
They can add Trojan horses into your system.
Many of these spyware programs can read, write and delete files and in some instances sometime even reformat your hard drive and they do this while sending a steady stream of information back to the advertising and marketing companies.
The majority of these programs once installed can not be deleted from your system by normal methods and leave residual components behind to continue to monitor your behavior and try to reinstall themselves.
Many people have noticed a significant decrease in their computers performance after installing spyware infested shareware with no idea of why since they had no idea of the additional software being installed which is using up their system resources and connection bandwidth.

There are some newer monitoring spy programs designed to search for and disable firewalls, thus being able to send data undetected. These spy programs are often physically installed by spouse or other person with access to your PC. The spy then disables the firewall and sends back monitoring reports to the intruder.

Unfortunately the surveillance software companies write code into their software to fool the firewall or rather fool you. How it works is when your firewall senses the spyware attempting to access the internet, the spyware will trick the firewall into thinking it is say... Internet Explorer.. or some such common program. The firewall will then ask you if you will allow Internet Explorer to access the Internet. When you click yes, it will send the information it has collected off your machine.

Unexplained computer behavior may be caused by deceptive software.

You may experience any one or more of the following symptoms:

When you start your computer, or when your computer has been idle for many minutes, your Internet browser opens to display Web site advertisements.
When you use your browser to view Web sites, other instances of your browser open to display Web site advertisements.
Your Web browser's home page unexpectedly changes.
Web pages are unexpectedly added to your Favorites folder.
New toolbars are unexpectedly added to your Web browser.
You cannot start a program.
When you click a link in a program, the link does not work.
Your Web browser suddenly closes or stops responding.
It takes a much longer time to start or to resume your computer.
Components of Windows or other programs no longer work.

CAUSE

This issue may occur when deceptive software such as spyware or unauthorized adware is installed on your computer. This type of software may come bundled with software that you want to install or may be included with downloaded Web components.

You can stop spyware by using programs like CounterSpy.