Thanks Mike for the reply. I downloaded and scanned the system. It found two infections, Trojan.FakeAlert and PUM.Bad.Proxy. I cleaned both of them. Here is the log
Malwarebytes' Anti-Malware 1.50.1.1100
www.malwarebytes.org
Database version: 6458
Windows 6.1.7600
Internet Explorer 8.0.7600.16385
4/27/2011 4:03:10 PM
mbam-log-2011-04-27 (16-03-10).txt
Scan type: Full scan (C:\|Q:\|)
Objects scanned: 323820
Time elapsed: 50 minute(s), 38 second(s)
Memory Processes Infected: 0
Memory Modules Infected: 0
Registry Keys Infected: 1
Registry Values Infected: 1
Registry Data Items Infected: 0
Folders Infected: 0
Files Infected: 0
Memory Processes Infected:
(No malicious items detected)
Memory Modules Infected:
(No malicious items detected)
Registry Keys Infected:
HKEY_CURRENT_USER\SOFTWARE\g043oqxanu (Trojan.FakeAlert) -> Quarantined and deleted successfully.
Registry Values Infected:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer (PUM.Bad.Proxy) -> Value: ProxyServer -> Quarantined and deleted successfully.
Registry Data Items Infected:
(No malicious items detected)
Folders Infected:
(No malicious items detected)
Files Infected:
(No malicious items detected)