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That is not a virus, it's spyware. Removal can be tricky or downright impossible. It comes from installing suspect material or running those ActiveX controls that pop up from some websites and ask if you want to run them or not. They hijack your applications and direct you to other sites or spawn popups on sites that don't normally have them.
I'd personally reinstall the OS. There are some tools that can aid in cleaning out spyware, you might want to investigate that.
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Nizzle
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