Not all spyware is cookie-based, that's why Adaware is such a good program, it looks everywhere that spyware can get.
If you don't have an internet connection, you will most likely not have spyware, that's how it gets there. Otherwise it would have to be loaded when you install a program, or put a removeable disk in the drive. Although it is true that it won't harm you without an internet connection, for most people it is the principle that is the issue. Companies getting hold of personal information that we have not agreed to.