Help with Coworkers home Computer

My fellow coworker gets a message everytime she views a web page.At first it said "Privacy Alert the website 201.net has requested to save a file on your computer called cookie.This file may be used to track usage info do you want to allow this?Allow block help cancel."She can only view the page she is trying to go to if she hits allow.
Now it says dist.belnk.com.Which i believe is Gain software
She says she ran Adaware and nothing was found I know she needs to follow all the steps first.My question is could a High security settings in explorer cause this?Or Norton Firewall???Before i have her proceed.
Compaq Presario Win XP
Norton antivirus/firewall 2004
Thanks

 

she can get rid of this pop up message by setting explorer privacy setting to low to accept all cookies