What does it mean when it says Windows has deteted spyware infection?

It has a triangle at the bottom of the screen with an exclamation point in it and says Windows has detected spyware infection. It is recommended to use special antispyware tools to preven data loss. Windows will now download and install the most up to date antispyware for you. Do I need to do that if I have McAfee virus protection? Does it have a virus?

I use these programs to clean friends computers.
It helps speed up the system and usually
works every time unless there is some very unusual virus on the system.
They are all free.

1)Get spybot search and destroy, install, update and run.

http://www.safer-networking.org/

2)Get avgfree anti virus, install, update and run.

http://free.grisoft.com

3)Get windows defender antispyware, install, update and run.

http://www.microsoft.com/downloads/

4)Get avgantispyware, install, update, and run.

http://free.grisoft.com/

- Windows 98 Crash

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