NAIL.EXE and AURORA.EXE are recent and nefarious spyware from Direct Revenue, Inc. Arm yourself with another anti-malware application like Adaware or Spybot Search and Destroy and feel better!
EDIT: whoops, it appears you're over the virus and just have a residual message regarding it.
First things first; see if it is in your 'Startup' folder. Start > Programs > Startup... look for the call to it there.
Failing that, see if it stands out from among the programs listed under Start > Run > msconfig (typed in the Run box, then click 'Ok'). Msconfig has a tab for services launched at startup... you should find the offender by the path it's calling if not by name.
EDIT2: In fact, you may want to repost your issue in the HJT (hijack this) log forum; they will know better than I (at least off the top of my head) how best to permenantly remove that annoying call to NAIL.EXE.
Edited by pchartwell, 14 June 2005 - 01:50 PM.