BHO's, or Browser Help Objects, are DLL's that add functionality to Internet Explorer. This can be either a good or a bad thing, depending on the 'functionality' that gets added. When IE loads, it load the BHO dll as well. This allows the browser help object access to all events that happen during the session, as well as the ability to perform other functions. (Like reproduce itself if it's spyware)
Spyware uses BHO's quite extensively. A lot of the time the object is not written very well and can cause problems with your browsing as well as instability in your system. Their use can be deceptive as well, because you may think that you've got your spyware problem fixed and as soon as you open Internet Explorer, you get re-infected.
Now, these helper objects for your browser aren't all bad by any means. Adobe Acrobat uses one so that it can load the PDF files within the browser. I happen to use this all the time. Symantec and McAfee also have BHO's that monitor what goes on in the browser for security purposes. Not everything in there is a Trojan horse.
HijackThis is the best way to see what BHO's are installed on your system. You may want to remove most of them. I've had instances of even good, non-adware ones causing problems with IE. (Not loading, crashing, etc)