Well, technically, its Ad-Ware.
Like everyone else said, download a Anti-Virus program and do a scan.
After you solve this virus, make sure you always have a anti-virus program running on you computer at all times. If you set up a computer right, you should not get any virus's like this.
If your running XP service pack 1, then upgrade to service pack 2 right away. My old computer was not compatible with SP2 so I was stuck with SP1 all the time. SP1 is a anti-virus nightmare as you ALWAYS get infected with something.