If you're only going to use it for on-demand scanning and don't want it to integrate elsewhere, then deselect those. They do just what they say - add entries to the effect of "Scan this item with Spybot" in various shell menus and add features (I think a toolbar) in IE.
The more important option to pay attention to when installing Spybot are the background resident components (in 1.62 called sdhelper and teatimer, not sure how they appear in 2.0). If you're only doing on-demand scanning you probably don't want the extra drag from those components.--
Scott Brown Consulting