I'd also recommend getting a program called
SpywareBlaster. You run it, say once a week, and it gives you kind of flu shot against nasties. It writes dummy entries into your registry so that when a malware wants to do something to it, like install itself as a BHO as the above example, it gets sterilized. The nice thing about it is that you don't run it constantly. You run, innoculate, and shut down the program.