The programs Hans mentions are excellent. Here is another free utility to help get and keep things cleaned up. I run it before every system shutdown.
If you have cookies that you want to keep, uncheck the 'Cookie' box after you run it the first time.
Download and install
System Security Suite. Set it up like this:
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Shut down all other programs as you will be rebooting.
Click the "Clear Selected Items" button and accept the reboot option.
After you have run the automatic scanners of your choice you should also do a manual search for files. It will take awhile but if you want to make sure everything is gone you will need to do it. I'm not sure what operating system you are using, here is how to do it on XP.
Be aware that using this method will expose you and anyone near the computer at the time to any objectionable pictures or video on your computer. Minimize the window while the search is in progress so no one will see anything that happens to come up in it. The only way to make sure it is all gone is to manually check. The other option would be to wipe the hard drive and start over with a fresh install of the operating system.
Go to Start > Search
Click 'Other search options'
Click 'Pictures, music or video'
Check mark the pictures and video boxes
DO NOT enter a search term, just leave that box blank
Click 'Use advanced options' then click 'More advanced options'
You should be able to Uncheck the 'Search System Folders' box, although if you really want to thorough that should be searched too.
Put a check mark in 'Search Hidden Files and Folders'
Click the search button.
This will most likely take a long time, possibly over an hour depending on your machine.
Once the search is done select View > Thumbnails from the list and go through and delete any you find objectionable. Be aware that some of these images are used by the system, though non of those are objectionable. Don't delete anything you don't need to. Unfortunately you will need to play any video you find as they do not have a thumbnail preview, though the name may give it away. Unless they have C:\Windows\help in the path you should be ok deleting any movie files.
Good luck