Could be just about anything... most likely a SpyWare of sorts. For a recent topic with some good posts that may be of help for you, check out:http://www.bigbluecup.com/yabb/index.php?topic=19142.0
As, I suspect you may have a version of the CoolWebSearch virus/trojan (CoolWebSearch is anything but cool though).
What version of WinDoze you running? If you have like ME, 2000, XP, NT, you should have the "System Restore" feature. If the problem is recent enough, you may still be able to use the System Restore to rollback your drivers/settings/etc... to a date and time when you know your computer was still working good. Usually it's found from:
Start, All Programs, Accessories, System Tools, System Restore. Choose "Restore my computer..." then from the "Calendar" thingy you can pick a day and checkpoint to before your problems occured.
The free version of DAP is Ad-Ware (not spyware), but the paid-for version of DAP is without any type of ads. I've been using DAP for a number of years, and it always works great for me.
But, if you're looking for a good free alternative without any kind of adware or spyware, you might try: http://www.stardownloader.com/
Also, you should make sure IE's security settings are adjusted for better protection, and you never mentioned if you're already using a firewall.. If not, then I highly suggest you get and use a firewall (there's many good free ones out there, one I like is ZoneAlarm which you can download a good free version over at www.zonelabs.com
Also, you may want to make sure your "Windows Critical Updates" are current, though be sure to make a System Restore checkpoint before updating in case something messes up, as, in my experience, sometimes updating with Windows can in fact mess things up even more.
PS: Backup any important data/files/programs that you need to keep safe.