Since you don't give any details about your computer, operating system, antivirus software, firewall version of Spybot etc my crystal ball has been able to come up with an answer, except to direct you to the FAQ's about Spybot at http://www.spybot.info/en/faq/index.html
After you have read through these, if you still have any specific questions you would like help with, please post back.
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