What service pack are you on for your OS, and what version of IE?
Have you applied all service packs and upgraded to the most recent versions?
There is more than one possible cause for your symptoms.
One is that you may have spyware which is resistant to being cleaned by
Microsoft Antispyware.
Here are a couple of ideas: 1) make sure your definitions are the most
current--4680, as I write this--see Help, About.
2) Try scanning and removing in Safe Mode. This makes it easier to remove
certain resistant bugs.
If scanning in safe mode doesn't fully remove things, please file report:
Tools, suspected spyware report.
This will help Microsoft make the tool better for all users.