try doing what I do, install and run assorted different spyware appz - to see what each finds/doesnt find. Then uninstall them after the run, to avoid clogging the pc. Spybot for instance doesnt find the things that Scanspyware does.. And Counterspy routinely picks up things that the above two dont 'see'. Another two to install/run/clean/uninstall are Pest Patrol and BPS Spyware remover.
If you use this technique, you'll probably find some nasties lurking on your system - whereas just relying and trusting on spybot or any other single app, means you havent actually cleaned your system properly..
If something unknown is 'speaking' to somewhere on the net, then by all means try block it with a firewall - but it does suggest that you have spyware that hasnt been found and disinfected from your pc, to begin with.