Most AV vendors offer one free for download these days; a <fill in the AV name here> Rescue CD. The idea behind it? Scan your computer without booting in Windows, which can come in handy when malware is actively preventing removal (for example by blocking the tools you try to run, or by refusing to be deleted easily). It is also offered as option to clean a system that will no longer boot at all in Windows.
In theory that all sounds nice enough, in practice however there are a few serious problems. A Rescue CD is based on the (open source) Linux operating system kernel. That leads also the first problem; a Linux OS can mount an NTFS partition (which is the file system Windows uses) just fine. However it can't load the Windows Registry as easily. There are some Linux-based tools that can be used to access and modify the registry manually, but the registry cannot be loaded remotely as would be necessary for a scan. This means that the Antivirus or Antispyware scanner included on the rescue CD will scan the file system, but not the registry. Many types of malware use the registry in order to launch. For example a Run value that points to baddie.exe will load baddie.exe as soon as Windows has started and the user logged on. Both the file and the Run value that loads it are bad and needs to go. However, the rescue CD will only detect and delete the file. So, on next reboot Windows will still attempt to load baddie.exe but will no longer be able to find it. This will usually not cause a problem when it concerns a Run value (in worst case the user of the computer will get an annoying error pop-up on each boot), but may have much more grave consequences when it considers other registry locations.
A classic example is the Userinit value. Some (older) infections use(d) to add a file to that value resulting in the so-called logon-logoff loop if the file is removed without adjusting the value correctly. While it is not impossible to recover such a computer, it isn't exactly simple.
Another, more actual, example is the 64 bit version of the ZeroAccess rootkit which hijacks the Windows value in the HKLM\System\CurrentControlSet\Control\Session Manager\SubSystems key so that it will attempt to load the rootkit component consrv.dll instead of the legit winsrv.dll file. If a scanner deletes consrv.dll without adequately adjusting the Windows value data, the computer will no longer boot and instead display a 0xc0000135 BSOD. Luckily most 64 bit Windows versions nowadays have the Recovery Environment pre-installed, which makes recovering from this error a lot simpler, but still, this involves a relatively complex registry edit.
Another issue you need to be aware of when scanning with a Rescue CD is the fact that any file can be deleted, even those that are critical Windows system files. Normally Windows Resource Protection will (attempt to) prevent the deletion of such files. In case a system file has become infected, it will need to be identified and replaced. Deletion will in many cases lead to unbootable or unusable systems.
There are many examples here, just a random one: if the 32 bit ZeroAccess rootkit infects i8042prt.sys (which is the keyboard/mouse ps2 port controller) and this file is deleted using a rescue CD the user of the computer will no longer be able to use their ps2 mouse/keyboard. Both will be completely unresponsive once Windows is loaded.
Does that mean a rescue CD is totally useless? I don't think so, you can still use it to diagnose/detect the malware you are dealing with. To stick with the i8042prt.sys example, if a scanner detects it as infected you can then replace it manually using the rescue CD (browse to a clean copy and use that to replace the infected file).
My advice: if you want, use it, but use it wise and don't let it delete files but rather investigate what it detected and prepare a manual fix based on that. If you are not sure how to do that, then I recommend to look for help as doing it yourself may very well worsen the state of your computer.