I suspect that the Trojan Horse resided in the program file "tnfyxll.dll". I'd also suspect that the Access Denied error might imply that the file is quarantined rather than removed (but that's a stretch).
So, what's happening is that the Trojan Horse is still trying to execute, but it cannot because the removal has made it not work.
As a start, you may want to try other anti-virus or anti-trojan programs to see if they can remove more of it and repair your system correctly.
Should that not work, then I'd suggest posting a HiJackThis log (after reading the instructions) in this forum: http://www.bleepingcomputer.com/forums/f/22/virus-trojan-spyware-and-malware-removal-logs/
Once the HiJackThis team is done working on your logfile, then we can move onto fixing this particular problem if it still exists.
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