Spybot usually always reports some "spyware" every time it runs, either cookies or something else (DCOM?, can't remember the specific). What is it saying still exists?

For your browsing pleasure, in Mozilla go to Edit->Preferences (assuming you haven't done this yet):

Under Privacy & Security->Popup Windows, set it to block.

Under Advanced->Scripts & Plugins, uncheck (at the least) the move/resize windows box, the raise/lower windows box, the hide status bar box, and the change status bar text box. Disable JavaScript for Mail & Newsgroups.

If you are using Mozilla as your email tool, under Privacy & Security->Images, check the box to not load remote images for Mail. This will block a trick spammers use to validate delivery.

Not too surprised about the Media Player, must be embedded into XP like a tick. Isn't this one of the reasons the EU sued M$? You may need to boot in safe mode and manually delete the folder. Once that is done, you might be able to reinstall, hopefully you won't need to muck with the registry. Good luck!