pop ups (Adaware won't fix it)

Hi, I'm having serious trouble with a pop up that executes every time I start internet explorer and even every time I go to a different web page. (Win XP) I've tried Adaware and another spyware remouval program but the problem still persists. I'm not sure where I should look to solve the problem. (config.sys)?

Thank you,

 

thak you

I've used spybot and it doesn't seem to pick it up.
To major attitude. I not useing msn messenger if that's the messenger you're reffering too.

I'll try to explain the behavior of the problem.
Each time I initiate internet explorer I get the pop-up, them every time I choose a new page or even press the "back" button it appears again. Though if I refresh the page it doesn't occur.

I wish I were a little more computer savy so I could figure this out myself. Thanks for the quick replies though it has been helpful in letting me further understand what's going on.

 

Next time it pops up just leave it and press control, alt, delet - go to applications and see if there is a stealth program at work. If you do see somethin, run a search and find out where it is then delete the folder or .exe. Make sure its not a system file though.