This would be spyware, or prehapse an evasive XP problem where basically a spider solicites you to advertisements using a flaw in the Messenger service. The way that I have always fixed this problem was to go into Start > control panel then open administrative tools, open serveces, scroll down to messenger, and disable.

If you have ever (or someone else) used Internet Exploder by accident - you could damn well be Hijacked. This is a pain, as you have to delete funky regestry keys. The HijakThis tool helps quite a bit, in pinpointing the possiblities.

I hope that helped.

Bipper