Here's something to try:
Click Start > Run... type regedit into the box, and click OK. Navigate your way to the following key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\InternetSettings\ZoneMap\ProtocolDefaults\
Single-click on the ProtocolDefaults key so that its contents appear in the right-hand side of the screen. Look at the "http" entry and check that its data value is set to 3 - it should appear as 0x00000003 (3). If it is anything other than 3, double-click the "http" entry and change it to 3. After doing that, navigate your way to the following key and repeat the process:
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\InternetSettings\ZoneMap\ProtocolDefaults\
Hopefully that will solve the problem. Oh yeah, I think the cause of this may have been spyware, so I advise you to run a scan or two just to be sure.
Good luck
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