First thing I'd do if I thought my computer was infected would be to run my antivirus software and my antispy/adware program (Sypot Search and Destory's a good one, and it's free to download off the net!).
Delete all your cookies and temp. Internet files. In Internet Explorer you can do this by clicking
Tools>>
Internet Options and then hitting the the buttons that say "Delete Cookies" and "Delete Files". Many passwords that you use on the Internet are stored in little files known as cookies. It's best to delete all your cookies when you've finished a broswer session, however it does mean that you'll always have to enter your passwords on all your favourites sites everytime you visit them.
Also, a great idea is to protect your IP (Internet Protocol) address from hackers and sniffers. Do a little bit of research and read up on IP addresses (if you don't know much about them) and then go out and download a free version (or paid if you want,

) of a program like "Hide IP Platinum". Effectively, what it does is protect your computer's unique identity by tricking other computers and programs into thinking that you're someone else. It's hard to explain, and hard to understand if you've never heard of it before, but it's well worth it! Trust me.
I hope some of this has helped!