Malwarebytes Anti-malware is not a substitute for either AVG or Spybot, but more to work in conjunction with them. Malwarebytes will sometimes pick up the odd piece of malware that Spybot has missed. You may download Malwarebytes from their website here: Malwarebytes.org This software has a free version you may use.
This will go out and download any updates from Malwarebytes.
A new window will open telling you that the Updates are finished sucessfully.
Select Finish or Ok to complete.
When complete a small window will open stating so and also advising you to view the results of the scan. Close this windows and on the main page you will now see written: Scanning has completed successfully. The number of objects scanned will be reported plus any objects infected.
On the toolbar select Quarantine: This will open up your Quarantine for inspection. If there is any malware being held in there, select Delete All to delete them and select Exit to close the Quarantine window.
If you have any problems or queries you could try their Support Forums
Needless to say, if the scan does find malware and is unable to remove it, you will need to ring a tech for advise. Dont ignore this as malware, spyware and viruses have a habit of multipling.