Help for Spyware

I installed some free anti-spyware software. REcently, I bought SpyCatcher 2006 for stopping poo-up windows. But they did't work. My SpyCatcher caught one file "thnall1a.exe". It pops up every minute. I have to keep on clicking close this pop-up windows. It is obvious that this spyware change the register and try to install it every minute. Is there any good suggestion. Emergent!!!