I get something similar - basically if I leave my PC alone for a bit some IE type adverts will pop up (nothing mucky, it's stuff like Disney and some Travel/Holiday portal thing)....can't see anything wierd in my desktop background/theme. There's nothing running in my Task Manager under Applications and everything under Processes seems ok (should I get both explorer.exe and IEXPLORE.EXE?)...
Also, when I shut dow, maost of the time I get a message saying something like "Ending process 'HTML Package'" and an End Now button....
I've tried Ad-Aware and have a firewall (Zone Alarm Pro) that doesn't pick anything wierd up....and I did have Kazaa on previously, but I've uninstalled it and removed all the BDE stuff.....
I'm running XP Pro BTW.