> What settings do I need to change in IE to keep the goddamn spyware from
> automatically installing itself on my computer?

Control Panel > Add or Remove Programs > Windows Components > uncheck Internet Explorer > Next etc.

And even that might not stop everything.

> There isn't even a confirmation window, it just installs itself when I
> visit certain sites.

Yup. Only thing you can do about it is stop visiting those sites.

> Also, can anyone recommend a good spyware remover?

AdAware
SpyBot Search & Destroy