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Spyware usually ends up on your machine because of something you do, like clicking a button on a pop-up window, installing a software package or agreeing to add functionality to your Web browser. These applications often use trickery to get you to install them, from fake system alert messages to buttons that say "cancel" when they really install spyware. Here are some general ways in which spyware finds its way into your computer:
Drive-by download - This is when a Web site or pop-up window automatically tries to download and install spyware on your machine. The only warning you might get would be your browser's standard message telling you the name of the software and asking if it's okay to install it. If your security settings are set low enough, you won't even get the warning.
Piggybacked software installation - Some applications - particularly peer-to-peer file-sharing clients - will install spyware as a part of their standard installation procedure. If you don't read the installation list closely, you might not notice that you're getting more than the file-sharing application you want. This is especially true of the "free" versions that are advertised as alternatives to software you have to buy. As the old saying goes, there's no such thing as a free lunch.
Browser add-ons - These are pieces of software that add enhancements to your Web browser, like a toolbar, animated pal or additional search box. Sometimes, these really do what they say they'll do but also include elements of spyware as part of the deal. Or sometimes they are nothing more than thinly veiled spyware themselves. Particularly nasty add-ons are considered browser hijackers - these embed themselves deeply in your machine and take quite a bit of work to get rid of.
Masquerading as anti-spyware - This type of software convinces you that it's a tool to detect and remove spyware. When you run the tool, it tells you your computer is clean while it installs additional spyware of its own.