If you are on Windows XP, extract
the file. Do not just doubleclick on it! This opens HijackThis in a temporary folder. This would interfere with the possibility to make back-ups.
Unzip to a folder other than your Desktop or the Temp folder. Then, doubleclick HijackThis.exe, and click "Scan".
When the scan is finished, the "Scan" button will change into a "Save Log" button.
Press that and copy and paste its contents in this thread.
Most of what it lists will be harmless or even essential, don't fix anything yet. Someone will be along to tell you what steps to take after you post the contents of the scan results.