Windows version?  MSN or Microsoft?

I know of three causes for the vast majority of such problems:
1. Incompatible add-ons:  What if you right click the IE icon on the desktop
and choose Start Without Add-ons?
Or go to Start | All Programs | Accessories | System Tools | Internet
Explorer (No Add-ons).

2. Tools | Internet Options | Advanced
Scroll to the bottom and click Reset Internet Explorer Settings.

3. Malware already installed on the computer:  Help with malware
All  MS-MVP Sites.
http://aumha.org/a/parasite.htm
http://aumha.org/a/quickfix.htm
http://www.elephantboycomputers.com/page2.html#Removing_Malware
http://mvps.org/winhelp2002/unwanted.htm
http://inetexplorer.mvps.org/darnit.html
http://www.mvps.org/sramesh2k/Malware_Defence.htm

Unexplained computer behavior may be caused by deceptive software.
http://support.microsoft.com/kb/827315

So How Did I Get Infected Anyway?
For quite a few people it's by installing Messenger Plus, whose ads for
malware don't identify the malware as such and try to convince you that you
owe it to the author.  See also:
http://www.wilderssecurity.com/showthread.php?t=27971
Don't ever do a "default" install of anything.  Always choose Custom and see
what else is being carried along.  Don't install any extras you're not sure
of.