Sophos provides protection against software (viruses, spyware, diallers, Trojan horses, and worms) which behaves maliciously.
There is a category of application known as 'adware' which, although sometimes annoying, cannot be described as malicious. The programs are normally up front about what they plan to do, ask the user's permission at installation, and include uninstallers.
Endpoint Security and Control (Sophos Anti-Virus), provides the ability to selectively block adware.
If you have seen an application which you believe to be malicious (for instance if it collects keypresses without the user's knowledge, or it replicates itself on the network) then please send a sample to email@example.com so the experts in Sophos's virus labs can analyse it.