This sounds like Cydoor again. Not the spyware it used to be, but still the same bug. I imagine you're using McAfee with the WebScan loaded, as this tends to cause problems with explorer, but even moreso in internet explorer.

Anyway, delete C:\WINNT\SYSTEM32\cd_clint.dll. That should solve, unless you use KaZaA, in which case download www.cexx.org/cd_clint.zip and extract to C:\WINNT\SYSTEM32.

Cheers!