There is a whole load of rubbish out there, trying to get on to any system it can. Please scan frequently. I don't know Panda, I use norton anti-virus myself, but yes, loads of stuff ready to wreck your system.
spyware and ad-ware usually end up on your system based on what sites you visit (nothing implied by this at all!! please dont be offended!!!) if you download mp3s thru a program like Kazaa, it often adds spyware to your PC.
anti-virus software is good to have (no one should be without it, just make sure to keep it updated dh works with computers!=)), but ad-aware is good for catching spyware/adware (its free to download and use!) and also spybot is good (& free!, just follow the link down a bit for the download section, you dont have to donate to use it!)