As information technologies being developed and becoming widespread, daily routines and works have switched to electronic media and made life easier. As a result, the importance of information and computer security and threats encountered has increased in diversity as well as in quantity. New form of threats and attacks to security arise almost every day. Malware and spyware are very dangerous threats among them. Reviewing available literature on malicious software, it has not been found a well organized, up-to-date and comprehensive survey. When the literature reviewed, there have been a number of references covering from anti-virus web sites and computer magazines. In the light of reviewed literature, in this work, a comprehensive review on malware and spyware is classified and presented. This comprehensive work contributes to the computer users to know the threats of malicious software in details. The features of these wares and risks have been updated.