Spyware is sneaky, and it's very good at hiding itself. Usually, it does this by attaching itself to your operating system and running in the background as a memory-resident program. Sometimes it even disguises itself as a file that is innocent and a vital part of your OS.
Spyware can even arrive attached to apparently legitimate programs. If you look carefully, it's probably mentioned in the small print. It's more likely to arrive attached to dodgy downloads or via a phishing attack.