There are several free antivirus programs, AVAST, AVG, Antivir. No one antivirus program can detect 100% of all viruses. I would stick with Mcafee if you like it. Of the freebies, AVG has a internet link scanner, which scans websites for nasties when you click on a link - I like that feature. AVAST has a boot time scanner, and it can scan before the OS finishes loading, which is a good tool to have when you are infected with certain kinds of viruses.
The software you're referring to is called spyware. There are different kinds of them. Some are cookies. Cookies are small txt files sent to you by a web site, usually just for personalization things. (they then retrieve the cookie from you on your next visit.
like how TechGuy remembers your login name) But some advertising banners also gives you cookies and track your surfing across different sites. Then the advertising companies know which banners may appeal to you. Then there are the malicious programs, which log your keystrokes, credit card numbers, and account names/passwords and send them to the hacker who distributed the spyware. I use Webroot Spysweeper ( not free ), which claims to take care of all these things.
In addition, I do not use Internet Explorer, which is a prime target of hackers who modify websites to install spyware onto your system. Firefox is a better alternative browser and it has a add-on called NoScript which allows you to selectively disable Javascript on the sites you want. Javascript is a language thats part of your browser that enables pretty features like the pull down menus on TechGuy. But it is also a source of vulnerabilities. Websites that are hacked to install spyware usually use Javascript. So I would say using Firefox is a part of your defense against spyware.
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