Spybot rocks, but another good free Spyware program is Ad-Aware. I run it in conjunction with Spybot as they both tend to find bits that the other misses.
http://www.lavasoft.com/single/trialpay.php
On first run both will mention that they found the other, just click Ignore.
Also worth getting is Spyware Blaster (also freeware), it is a Spyware shield. All you have to in is install, activate and check for updates from time to time.
http://www.javacoolsoftware.com/spywareblaster.html
AVG is a decent program, but tends to flip out over cracks and keygens for bootlegged software (so I am told). What firewall are you running?
If AVG won't shut down, the best way to disable a program altogether is to open up Task Manager (right-click on the Taskbar or just hit CTRL-ALT-DEL), find it in the Processes tab and then select End Process. It may take a moment to respond as this is essentially a crowbar method. Also, you will need to restart your PC to reactivate anything you disable.
Another tip, go to the Start button and find the Run command. Type in MSCONFIG and hit enter. This will bring up your System Configuration box. Go to the startup tab. This is everything on your PC that activates on bootup, most of which is shite. EG, auto-update features for Acrobat that kill your internet connection at random.
I untick everything except for known applications and security. For example mine is like this:
Ticked Processes:
Windows Defender
COMODO Internet Security
Spybot - Search & Destroy
uTorrent
Messenger
Stardock ObjectDock
Unticked Processes:
AcroTray - Adobe Acrobat Distiller helper application
Adobe Acrobat
CloneCD
DesktopVideoPlayer
EPSON Status Monitor 3
GrooveMonitor Utility
Nero Home
Catalyst Control Center
Tablet Driver for Win2000
They are all programs that I use, but I don't necessarily need them all to spring to life as soon as I switch on. That's what my desktop shortcuts are for. Auto updates and helper programs? I'll run them manually, thankyou.
But to get to the point, if something nasty has taken root, most likely it will show up in this list. Unticking will at least disable it as an active function.
While you're in System Configuration, it's also worth looking at the Services tab. First thing to do is tick the "Hide all Microsoft services" box in the bottom left corner, you don't want to mess with those really, and ticking this will shorten the list considerably.
Again, here are my processes.
Ticked Processes:
Lavasoft Ad-Aware Service
COMODO Internet Security Helper Service
Unticked Processes:
Ati External Event Utility
##Id_String1.6844F930_1628_4223_B5CC_5BB94BB79762##
FLEXnet Licensing Service
InstallDriver Table Manager
Nero BackItUp Scheduler 3
NMIndexingService
PLFlash DeviceIoControl Service
WinTab Service
See what I mean? ##Id_String1.6844F930_1628_4223_B5CC_5BB94BB79762## is listed as being Manufactured by Apple Computer, Inc. The only Apple application I have would be QuickTime, and I don't ever use it (I prefer the K-Lite add-on). Most likely it installed as part of a cutscene module for a game.
Once you've unticked all your crap, you will need to restart. I just found a couple of ticked boxes in mine so am off to do that myself.
I'm running Vista 64-bit, but all of the above should translate into XP, I think. Do shout if I've gone all Star Trek!