Yeah, I've had these nasty little buggers before. The one I had periodically opened a Internet Explorer window to an advertisement for something. I searched for it everywhere without luck, then I went to the task manager and found a suspisous program running called 'aaa' which I would end task. Then five seconds later, it was running again.
I tried to delete the actual program, but it would copy itself, give itself a different name and keep going. So, With Avast, i sent the executable to the virus vault and did an antivirus delete on the bastard. Gone forever!