Run Hijackthis and select "Do a system scan only", place a check by the following entries.
O4 - HKLM\..\Run: [Microsoft Corporate MSN] msnsgr.exe
O4 - HKLM\..\Run: [Microsoft MSN messenger 7.x] msnmser.exe
O4 - HKLM\..\RunServices: [Microsoft Corporate MSN] msnsgr.exe
O4 - HKLM\..\RunServices: [Microsoft MSN messenger 7.x] msnmser.exe
O20 - Winlogon Notify: WRNotifier - WRLogonNTF.dll (file missing)
Close all open windows and browsers, and hit "Fix Checked".
Delete these files.
C:\WINDOWS\system32\
msnsgr.exe
C:\WINDOWS\system32\
msnmser.exe
Then get a firewall and anti-virus program.
Basic Malware Prevention