I found only scant information relating to known files by the name "u966.exe" and what I did find was rather perplexing. There is a project hosted on Google Code called bma-ebook, which appears to have something to do with the nation of Burma (which is called Myanmar and has been under an oppressive military junta for a long time. You may remember some rather severe protests there making the news in 2007. The Myanmarian Junta rather severely limits, filters and monitors the use of the Internet by its citizens.)
Anyhow, near as I can figure, u966.exe (or at least the one I found) is some sort of internet proxy application. That is, a means by which a person in Myanmar could access otherwise prohibited Internet locations and data, such as those relating to anti-government activists and the like.
This is all largely speculation on my part since, as I said, information was scant and perplexing.
Bearing the above in mind, and assuming that you are neither a Burmese dissident nor attempting to proxy your internet usage, I would say that this file (and the other, torrent, files) indicates that your machine may be compromised and being actively used as a dumpster for bittorrent data, the proxy tool being a facilitator to that. For that reason, I am moving your topic to the "Am I Hacked? What Do I Do?" forum so that a system security helper can either rule out a hack attack or help you to remove it.
Edited by Andrew, 12 August 2010 - 01:56 PM.