A Firewall will allow you to easily stop things like spyware that may be installed on your computer from giving out information about you or your PC, as well as other things.
This sounds like it has the possibility of being a Trojan House (a type of virus).
It may have come from something you downloaded.
In any case, Do you have any Anti-virus software installed on your PC?
Then run the spyware tools , Make sure to update the Spyware definitions after installing the tool and before running them. That should remove a whole lot of unwanted files. First run Spybot ( recommended by millions , well just a number) and it will do most of your job..