Spybot S&D is a Windows program and will not run on Linux (by the way, I have used that program for years on Windows.)
Generally, the type of advertising spyware you see on Windows does not exist on Linux and there are no programs comparable to Sypbot or Adaware, because there is no need for them. You should configure you firewall (firewall capability, called
iptables, is built into the Linux kernel, and Linux "firewall programs" are front-ends for configuring iptables).
You do need to be mindful of tracking cookies and browser vulnerabilities, as they are cross-platform. I generally run Noscript on Mozilla browsers and notscript on Opera and set my browsers to 1) not accept third-party cookies and 2) delete cookies on exit. I visit known perfidious sites, such as Facebook, only in private tabs. I also use Startpage.com (ixquick in the UI) for a search engine.
Ubuntu has a good article on basic Linux security:
https://wiki.ubuntu.com/BasicSecurity
