You're obviously using windows right? I'm surprised you haven't properly safeguarded yourself. That includes anti-virus apps to scan all incoming files, possibly a firewall (in fact after this it might be wise!), & spyware checkers. Here's some suggestions: Try using:
-ad-ware http://www.lavasoftusa.com/software/adaware/
-Spybot - Search & Destroy 1.3 http://www.safer-networking.org/en/mirrors/index.html
-Spy Sweeper http://www.webroot.com/wb/downloads/index.php And a decent anti-virus software. There's lots around & even some are free. Some of the win people may suggest some others.

Which OS version are you using?

I use a mac, but I've been 'too scared' to connect to the net for my win2k that I can run using virtual pc on my mac. That'd mean loading the win system up with safeguards & detectors. It's a fact of life nowadays to protect yourself when accessing the net on windows. Be it p2p or just visiting a site or email attachments etc.