What program is alerting you to the infection?
Did it provide a specific file name associated with this malware threat and if so, where is it located (full file path) at on your system?
What OS (Win 2K, XPsp1, XPsp2, Vista) are you using? What type of anti-virus are you using? Have you performed any anti-spyware scans? Have you tried doing your scans in "Safe Mode