Run a scan with "SpyBot: Search and Destroy" (http://security.kolla.de/)

What AdAware doesnt pick up, SpyBot will, and Vice Versa... how ever, uninstall AdAware before installing SpyBot, as they dont like each other :P, and I'm assuming that you have the latest AdAware reference file?

IF that doesnt do anything, check the "Add/Remove Programs" Section in the control panel, and check for anything unusual that you didnt install on the system. Does anyone else use the system? If so, check if anyone has sent them programs through MSN, or any other chat client... remembering that whilst you're transfering a file over any IM program, you're directly connected to someone, so they can get your IP (If you're not running through a proxy of some sort, or a firewall)..

oh yeah, also install a FireWall (SyGate is a good all rounder).. if you're getting any incomming or outgoing connections that dont look sus (Anything apart from the Internet, dont allow MSN or anything else AS YET), find the program, and get a copy of Norton System Works, and run the "Norton Uninstall" utility that comes with it.

If that fails, resort to the simplest method... goto Start->Run->*type in* "msconfig", and wait for a window to open. Then click on the "Startup" TAB, and click the button "Disable All". If you install Norton, remember to re-check "ccApp" after clicking "Disable All", as "ccApp" is Norton Auto-Protect

All be it, if you still have the problem after doing all of that, and it's not killing your system or lagging you to un-bearable consequences, you have 2 choices.

a. Format your PC - A drastic, but 99.9% guaranteed way to kill the problem
b. Leave it be - If it's not dangerous, and you're not getting abnormal connections through your firewall, dont worry about it.

-Kez