Unknown Spyware

Im having problem regarding this spyware or software my friend surf the internet and downloaded this spyware or software. It is most likely seen in the desktop. It says something like this "I will secure you" Its giving a hardtime were will I delete this file I already deleted it in Temporary Internet Files it seems to be still there any suggestions guys,

Try running two programs. First run HijackThis! and post the log here. It's likely there are some registry settings that need to be changed. Second, install a spyware app like Adaware and see if it takes care of it.