If you see System Alerts about spyware and advertisements, the PC may have been infected by a drive-by download.
There are numerous rogue anti-spyware applications even in the search results and paid advertisements in search engines - for details, see the information at http://www.spywarewarrior.com/rogue_anti-spyware.htm.
Microsoft's relation to (anti)spyware - that is a good question. Some people may say that the design philosophy and security holes in Windows sponsored the emergence of the adware/spyware/malware industry. You can read more about the legal situation, court cases and forensic research into spyware infections at http://www.benedelman.org.
My own rant against spyware with list of tools to get rid of infections can be found at http://totaldata.biz/spyware.html.