your computer is infected, because you are connected to the Internet without a firewall.
If you want to fix that do the following:
Disconnect to the Internet.
I'm assuming you don't have XP SP2, or that wouldn't happen.
Go to Control Panel, Network Connections, [right-click] the connection you use, [menu] Properties, [tab] Advanced, and tick the box that says 'protect my computer ...', click OK.
Now your computer is still infected with ad-aware.
Connect to the Internet
Go to:
http://www.download.com/Ad-Aware-SE-Personal-Edition/3000-8022_4-10045910.html?part=dl-ad-aware&subj=dl&tag=top5
Download Ad-Aware SE Personal Edition 1.06
Install it and perform a full scan. This should clean your computer.
Then goto
http://update.microsoft.com/microsoftupdate/v6/default.aspx?ln=en-us
and get all the updates microsoft tells you to! this might take a few hours ...
After that get a firewall and antivirus !!!
AVG should be a good free choice:
http://www.download.com/AVG-Anti-Virus-Free-Edition/3000-2239_4-10320142.html
If you don't know what the Registry is, just leave it alone, and learn about it:
http://support.microsoft.com/kb/256986