I also had this problem, but Dav555 very kindly provided this fix:
Make sure you turn off system restore first, Go into control panel, system, system restore tab and check\uncheck the system restore box.
you should fixed the following problems with HijackThis
F0 - system.ini: Shell=Explorer.exe winsock.scr
F2 - REG:system.ini: Shell=Explorer.exe winsock.scr
O4 - HKLM\..\Run: [dxset.exe] C:\WINDOWS\dxsetu.exe
then delete the following files with GiPo@FileUtilities (Move on boot)
(Remember to go into explorer, folder options, view and uncheck "hide protected operating system files" otherwise you'll spend forever and a day looking for things that aren't showing themselves, like I did!!!!!)
c:\windows\system32\winsock.dll
c:\windows\winsock.scr
c:\windows\dxsetu.exe
c:\windows\system32\winlog.com
c:\windows\system32\dxwinex.exe
I think these locations are right, the above files are either in c:\windows or c:\windows\system32
Reboot, then do a full system scan with your anti-virus program, this will pick up all the affected files and should delete\quarantine them.