Spyware and malware (malicious software) get installed along with something else you are getting for “free” on the Web.  You think you are installing something innocent and useful, like a toolbar, a media player or encoder, or a file search tool.  The problem is you get the malware, too without knowing it.  Online service subscriptions can also be a malware source.  Sometimes you even agree to it.  The end user license agreement, or EULA, may state they can install third-party software on your computer.  (You know, that contract you never read but click “accept” anyway.)  

One more thing, if you are directly connected to the Internet when attaching your PC to your cable or DSL modem without a firewall, you are extremely vulnerable to malware.  It is basically an “open door” to hackers, who can easily spot your PC and install malware.  (See also, How do I prevent spyware and malware?)