I actually don't really like ZoneAlarm... I ended up always having to allow the stuff I normally do anyway, and it always just seemed like I was prety much unprotected then. Course, I do have a router, which uses NAT technology for a sort of firewall, and that does cut down on stuff, but it just seems to me that to really be protected, I've got to disallow access to stuff I use a lot---IRC, FTP, as well as browsing, e-mail, and chat clients. I know that leaves me vulnerable, so i guess I'll just rely a bit more heavily on the dual-Spyware-detector setup and an AV program. ...I've pretty much heard that by running Ad-Aware and Spybot S&D, you catch "everything", for all intents and purposes.
As for compusport's suggestion, I guess the ironic thing about it is, even though I was at a LAN party, I think I was just browsing the web---meaning, I could have just as easily picked it up through normal browsing. I honestly don't remember what sites I went to, since I never thought I'd run into problems (naturally); not sure I wanna go digging through my history to find out which site this came from, though. :P
Things seem to have quieted down, thanks greatly to Ad-Aware (Spybot was handy, but didn't seem to alleviate the problem much). Thanks to all who have posted in this thread, it's all been very helpful!