How do you scan for Viruses?

So after reading articles about spyware and USB drives... I was left with the question how do I scan a USB drive?

I know I can point my AV program to scan it, but how about any spyware? I can't seem to point a spyware scanner (I use current Spybod S+D) to the USB. Can't malware embed itself in my USB drive and still mess me up?

And when I surf anywhere with FFP, am I still protected by the friewall on the PC I'm using?

Anyone? Bueller?