Sounds like you've installed (possibly unwillingly) something pretty. First of all, do what Baloki said. Then give us a couple of details more. Screenshots are generally a good thing when it comes to computer (software) issues.

All in all, your system should have four lines of defence:

1. Firewall
2. Anti-Spyware
3. Anti-Virus
4. Backups
(5. Windows CD in the drawer and I do hope you've got the OS on a separate drive/partition)

Presuming that you're running an XP machine, I would personally suggest Comodo for the first, Spybot Search and Destroy for the second, Dr. Web as an anti-virus (big debate on this one please) and Tune-Up Utilities 2007 for the rest. Tune-Ups are pretty good, because they'll keep your system more or less clean, give you a better view of certain core elements AND create backups of your system settings, i.e. if something goes wrong, you can always restore it. First two are free, the third is annually paid, the last costs about 30 USD.

If all else fails, backup your personal data and reinstall the OS.