Do you have a firewall, like Zone Alarm?
The web is loaded with spyware, and every web site you hit leaves a cookie that enables somebody to come back into your system.
Exactly what happened to you happened to me a year ago. I installed Zone Alarm Pro and have never had a problem since. It will keep out whatever you want it to keep out.
Oh, and buy the professional version. The gimme version is worthless.
There are other firewalls out there, so wait for comments from other posters.
Zone Alarm proved a bit cumbersome to me.
I use Black Ice, and I like it.