Anti-malware programs can combat malware in two ways:

They can provide real time protection against installing malware software on a computer. This type of spyware protection works the same way as that of anti-virus protection in that the anti-malware software scans all incoming network data for malware software and blocks any threats it comes across.
Anti-malware software programs can be used solely for detection and removal of malware software that has already been installed onto a computer. This type of anti-malware software scans the contents of the windows registry, operating system files, and installed programs on a computer and will provide a list of any threats found, allowing the user to choose what which files for you to delete or keep, or compare this list to a list of known malware components, removing files which match.
Real-time protection from malware works identically to real-time anti-virus protection: the software scans disk files at download time, and blocks the activity of components known to represent malware. In some cases, it may also intercept attempts to install start-up items or to modify browser settings. Because many malware components are installed as a result of browser exploits or user error, using security software (some of which are anti-malware, though many are not) to "sandbox" browsers (essentially babysit the user and their browser) can even be effective to help restrict any damage done.