That is probably the loader for iedll.exe which is the Trojan.  That would mean
that you do not need or want it.  If you can not currently locate the file in
your Windows folder then perhaps it has already been quarantined.

"Cool Web Search" trojan/parasite.
Info:
http://www.mvps.org/inetexplorer/darnit_2.htm#iedll

The loader.exe is *not* part of the Win Me operating system.
Download a run the Cool Web Search shredder.
http://www.spywareinfo.com/~merijn/files/cwshredder.zip
Unzip, hit the executable and follow the prompts.

Download and run the following:
 
Spyware Removal Tools, Lavasoft's "Ad-aware",
Direct download -
http://ftp.pcworld.com/pub/new/privacy___security/aaw6181.exe

Lavasoft/Ad-aware home: http://www.lavasoftusa.com 
Mirror site: http://www.lavasoft.de/ 

*Also* install and run SpyBot Search & Destroy,
Direct download -  
http://spybot.eon.net.au/files/spybotsd_mainapp.exe

SpyBot home: http://security.kolla.de/
SpyBot How-To: http://www.tomcoyote.org/SPYBOT/
More detailed help: http://tomcoyote.org/~mosaic1/spybot/
Support Forum, http://net-integration.net/cgi-bin/forum/ikonboard.cgi
Navigate to the SpyBot S&D section.

Install, reboot, read FAQ and overview, use online update feature to obtain
the latest reference files, scan for Spyware much like you would with your
pre-installed anti-virus scanner.
Rid your machine of unwanted Spyware pests.

Actions you can take from further events happening.
Dealing with Unwanted Spyware.
http://mvps.org/winhelp2002/unwanted.htm

HTH