In many cases it isn't a firewall/port blocking problem at all.
A lot of the spyware/adware installs itself as a browser help object. It will get uploaded into your registry and will put phantom DLL's in your Windows/System directory which you can't delete (because they will always be running). If you boot to safe mode and start hacking away at your registry it will re-download the spyware upon first clean boot. If you get something like this basically you are F'd with a capital F and it's easier to reformat.
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