This does indeed sound like a virus as others have already said. I had it a short while ago (w32.Alcan but it can have different names). Follow those links as they are very helpful.

This virus also gave me a "complete" file in my LW and it was full of .zip files I never even searched for, let alone download. If you can think of it there was a .zip file for it. Another thing it did was make my computer fan run 24/7 which was very irratating. My computer is quiet as can be, but it was loud with that bugger in it. Maybe you have some of those symptoms too, no? If yes, it's definatly a virus.

To fix it I just scanned my whole computer (took a while to be sure but well worth it) deleted everything infected with it. So far, so good. I think it's all gone (it has been for 4 or 5 weeks now anyway). If you don't have an anti virus program you can download a free 30-day trial of McAfee Virus Scan here. Its not the best product out there - you get what you pay for obviously- but it's pretty good. It'll do the trick for this thing and quite possibly find some other garbage if there's anything lurking around.