Spyware does not directly spread in the manner of a computer virus or worm: generally, an infected system does not attempt to transmit the infection to other computers. Instead, spyware gets on a system through deception of the user or through exploitation of software vulnerabilities.
Basically it can come from installing shareware and freeware software. I can be included in games and other so called free services that during the installation process discreetly and unsuspecting installs itself. There are so called spyware remover programs (like the one in the left picture) that you think is supposed help, but in fact it is actual spyware software.
More Spware Info: How do I get spyware?