If the IE spyware is Backweb or Backweb Lite, you can remove it without any problem. This is the most common spyware that is automatically installed in most computers that have IE pre-loaded.
About the Windows Media, I think that the worst that can happen is that you will disable some features that you don't want anyway, like they keep track of all the music you play so they can send you ads about it.
For all of the anti-spyware programs that I know, if you say "remove" the program will just put the offensive program in quarantine. If you don't like what happened, it has a "restore" feature. I usually let my stuff stay in quarantine for about a month, then if nothing bad happened, I delete it permanently.
I am not an expert, and I don't blame you for being careful. But 99% of the time it is perfectly safe to delete anything that your spyware program identifies as a security risk.
Mathman