CTRL+ALT+DEL. See if you can find a executable process (.exe) that it's running under. End that process and scroll through to see if it pops back up right away. If it doesn't, run one of your anti-spyware softwares and try to remove it while it's not "in use." www.download.com
has plenty of them for free; Ad-Aware and SpyBot are 2 very popular choices. If you're unsure of what something is, surf on over to www.processlibrary.com
and enter in the name (ex. iexplore.exe) and the site will tell you what the process is for, and if it's a threat to the integrity or security of your system.
If it just pops back up automatically you can restart your computer, enter into Safe Mode (only allows essential stuff to run), and run all of your anti-spyware stuff to try to get it all off.
I'm no expert by any means, but these methods worked for me, and they're harmless to try.
*whoops, forgot you said you have Ad-Aware already. You can also surf to www.Merijn.org
and run some of his programs that he has made. Most of them have to been sold to large companies, but he still has a few on there. HijackThis! is a very effective tool, but you have to know exactly what each thing is before you mess with it, and requires expert "supervision." That's what I had to use when I got the blue screen of death.