You can't leave your computer infected. Yes, it's important that you get rid of the worm. If the fix that Sleepless suggests doesn't work, then go to Norbiesworld. Follow the directions for free computer help, post a hijackthis log & ask Norbie to check things out for you. He's really good.

You need to make sure that you're using a good AV. Keep it updated & scan every file that you've downloaded before you open it.