Well, in the future for everyone, I highly recommend using avast AV for protection. Also get zone alarm for a firewall, as the one built into windows sucks!
If anything does happen though, HiJack This is the way to go. Take it to a forum to get it analyzed, and they can tell you exactly what you have, what to do, and/or if it's still there.
It could be related to the windows messenger service (not MSN btw)
You can try turning off the windows messenger service by going to your control panel>Administrative Tools>Services.
Scroll down till you get to Messenger in the right hand window, double click it or right click and select properties, in the general tab in the center of the window it should say startup properties, change that to disabled, click apply>OK and you should be all good.
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