If the Spyware scan warns you of an infection, the first step should be stop using the Internet at once for any transaction. You should check your firewall (most Operating System come equipped with one) and block all unwanted traffic. This immediate measure ensures that you do not loose any information to the developer of Spyware. It also helps in containing the infection if you have more computers attached to the network.
Good Spyware removal software should be installed in the system and a complete system scan and repair should be initiated.
Once the infection has been repaired, a few maintenance steps are always recommended. These include updating your Operating System to the latest version available, installing all security patches; updating your Antivirus and Anti Spyware tool with the latest definitions (or installing if you do not already have one); Checking your firewall to block the programs which do not require access to the Internet.
You can download Systweak Antispyware for a Free Scan of your system. It will enable you to learn if your system is infected from Spyware or not. You can also remove infections by registering your copy.