Spyware
is computer software that is installed on a personal computer to intercept or to take partial control over the user’s interaction with the computer, without the user’s information.
Malware (for “malicious software”)
is any program or file that is harmful to a computer user. Thus, malware includes computer viruses, worms, Trojan horses, and also spyware, programming that gathers information about a computer user without permission.
Trojan horse
is a program that claims to rid your computer of viruses but instead introduces viruses onto your computer.
References:
webopedia.com
wikipidia.com