How to remove this malware

Hi,

My System has been infected by a Trojan Virus. I have got two icons on my desktop: "Spyware&protection" and "Privacy Protector". A pop up called "Spyware Alert" appears every now and then with the description as follows:
"Spyware alert Warning:

Worm.Win32.NetSky detected on your machine. This virus is distributed via the Internet through e-mail and Active-X objects. The worm has its own SMTP engine which means it gathers e-mails from your local computer and re-distributes itself. In worst cases this worm can allow attackers to access your computer, stealing passwords and personal data.
This process should be removed from your system.

Type: Virus
System Affected: WIndows 2000, NT, ME, XP, Vista
Security Risk (0-5): 5
Recommendations: Click Yes to remove it from your PC immediately "