oxford, it's an infection. removing it can be a pain in the ****, trying spybot and hijackthis to begin with can be a good way to go if you must stick with internet explorer.

Or you could try sandboxie software, this will force IE to play nice in a "sandbox".

OR, you could just switch over to firefox...

Some how you allowed a really bad piece of software/spyware/virus to install. You could fuss around with more tools to try and remove it but I doubt they'd be successful. Check your startup of windows. Maybe something is loading the process for IE during startup. Or you can switch to Firefox as dlancelot says.