During logon sequence (XP Home Edition - SP3) get message "Windows cannot find 'logon.exe' "

My logon works ok, but always get this message.

"Windows cannot find 'logon.exe' "
Be glad of that - it is not a windows file. You did not present a hijackthis log, possibly the nag could be removed easily from that. So either do that, or this:
==Please download Malwarebytes' Anti-Malware
from: http://www.majorgeeks.com/Malwarebytes_Anti-Malware_d5756.html
or: http://www.besttechie.net/tools/mbam-setup.exe
=Dclick that file, mbam-setup.exe, to install the application,
-ensure that it is set to update and start, else start it via the icon, and UPDATE it.
Select "Perform QUICK Scan", then click Scan; the application will guide you through the remaining steps.
ENSURE that EVERYTHING found has a CHECKMARK against it, then click Remove Selected.
If malware has been found [and removed] MBAM will automatically produce a log for you when it completes... do not click the Save Logfile button.
Examine the log: if some files are listed as Delete on Reboot then restart your machine before continuing.
Copy and post that log [it is also saved under Logs tab in MBAM].