Nod32 is very good, but an antivirus isn't the whole picture. Antivirus programs aren't designed to combat adware or spyware. For that you need an antispyware program. PC Eye has already mentioned some great ones, but here are a few more:
Spybot-Search & Destroy
A tutorial on using Spybot to remove spyware from your computer may be found
here.
SpywareBlaster
A tutorial on using SpywareBlaster to prevent malware from ever installing on your computer may be found
here.
SpywareGuard
A tutorial on using SpywareGuard for real-time protection against spyware and hijackers may be found
here.
With regards to cookies, it's important to recognise that they're not all bad - some serve a perfectly legitimate function, while some are designed to track your browsing behaviour. If you want to delete all the cookies from your system (this is safe) with Internet Explorer 7, click on
Tools ->
Delete Browsing History ->
Delete cookies. That procedure is slightly different for other browsers.
Alternatively, any good antispyware program will remove the 'bad' cookies for you.