Two nasties I've had to deal with in the last few months, both of which installed registry hooks into the Windows startup and Explorer launch so that they required Windows to load dlls which then locked them as system files, and they would sit there watching the registry to make sure that they re-added any registry entry you deleted, so you couldn't turn them off or remove them.
The only way to get around them in the end was to boot off an XP install CD or some other boot image that can write to NTFS file systems and remove the offending files from C:\Windows\System32 - generally the newest files in that directory.
(From time to time there are a number of files of exactly the same size and different time stamps = the spyware making clones of itself)
The two I've removed (off two different machines) were WinFixer and SysProtect.
Nasty little buggers.
Must-have toolbox for dealing with nasties:
AdAware Anti-Spyware
SpyBot S&D Anti-Spyware
ewido anti-spyware Anti-Spyware
AVG Free Free Anti-Virus
Sysinternals Process Explorer Kill bad processes.
Sysinternals Autoruns Clean out start-up entries for bad processes.
RegSeeker Clean your registry afterwards.
If you need a boot CD:
Trinity Rescue Kit (85MB)
Paragon NTFS for Linux NTFS for Linux trial version (includes a self-burning .exe - only 26.3MB to download)
NTFS driver for DOS (could work from boot floppy if you have a floppy drive. (Haven't tested this)