The Lookout scanner doesn't always work. It craps out if you have too many apps on your phone, as I do. Currently I've been having pretty good luck with air push detector (free on the android market).
Some apps put a web shortcut on your home screen, which can usually be deleted. Others can change your browser home page, which you can change back, or add links to your browser "favorites", which you can delete. In any case, this usually happens shortly after you install or update the offending app. so a little detective work can give you an idea which app(s) to delete. I then add a review of that app on the market, including pretty strong language (not permitted on this forum). Virtual Guitar just added airpush to their app, so I overwrote the update with the previous version (which I backed up), and posted a very negative user review.
Anyone can send you a spam text msg if they have your smartphone number. There are apps on android mkt that can blacklist those numbers, but I found the main app that does that to be a battery hog, so I deleted it. I believe that for a phone that hasn't been unlocked, an airpush addon attached to an app must be installed, and if that app with that addon is uninstalled, those ads can no longer be pushed to your phone.