Not really spyware, but really disconcerting

...and I don't know where to post it.

A few days ago, I noticed that when I attempted to run the "C:" from "Run," a hyperlink popped up. Stupidly, I followed it, and it turned out, not suprisingly, to be a website of ill repute. To defend my own repute, I am only one of four people who uses this computer, but I am an administrator.

No matter what I try, I cannot fix this. I want to make the URL that pops up when I try to use the Run or Search features go away. Can someone help, please?

P.S. I am sorry if I have posted in the wrong forum. Please inform me of the one I was supposed to post in.