sdgdcd.exe

Certainly spyware or malware.

First of all, download NOW this Winsock fix (FREE):
http://downloads.subratam.org/WinsockFix.zip
If you lose internet access after the cleanup, run this tool.

After that, download the fully functional trial version of Spy Sweeper:
http://www.webroot.com/downloads/?WRSID=595f27d74dd2795a56af83b763c321e1
Install, UPDATE and run.
You may need to reboot and run again to clean all the nasties that cannot be deleted at once ('in use').

Download Ad-Aware (FREE) from here:
http://lavasoft.element5.com/support/download/
Install, UPDATE and run.
You may need to reboot and run again to clean all the nasties that cannot be deleted at once ('in use').

Also excellent is SpyBot Search & Destroy (FREE) available here:
http://www.spychecker.com/download/download_spybot.html
Install, UPDATE and run.
You may need to reboot and run again to clean all the nasties that cannot be deleted at once ('in use').
You should also apply the 'immunize' function, since it blocks roughly 1900 known 'bad' runs/apis/apps.

Even if Ad-Aware and SpyBot S&D are similar, they do clean different things. You should have both of them and use REGULARLY.

You can also install 'preventive' software that will help you control these nasties:

SpywareBlaster (FREE):
http://www.javacoolsoftware.com/spywareblaster.html
Prevents the installation of Active-X based spyware, malware, dialers, etc
Currently protects you against 3500+ nasties.
Advantage: no system resources used!!!
Just download, install and UPDATE.

All of them extremely useful but you must keep them UPDATED.

Suggestion: Make sure you can see all files and folders and run Ad-aware and Spybot S&D in Safe Mode.

Zee

Hmmm whatever it is, its no default windows file.... So is most probally safe to delete.

Spyware or Mallware or a virus?
maybe, maybe not. I cant really tell what it is. The CD at the end can mean its part of some cd using application, trough its unlikely. And i always say If you dont know WHAT it is, you dont need it eigther (THIS ONLY APPLIES WHEN YOU KNOW WHAT NORMAL WINDOWS FILES RUN!!!) Dont go trigger happy and delete all you can... itl cause a mess...

Thanks Tolomir and kneH...
Tolomir, I installed Microsoft's anti spyware and it found a bunch of junk that  that is now gone.  Strangely, the 'sdgdcd.exe' file apparently was not associated with any of the spy/adware that was removed.  
So, kneH, I decided to take your advice and try renaming it, but guess what?  When I looked int C:\WINDOWS for the file, it wasn't there.  Neither was it found after a search of the entire drive c:.  Yet it still appeared in the startup tab of the MSCONFIG utility window.  Maybe it was associated with one of the spy/adwares removed, I'm not sure.  
At any rate, I found a free program to remove disabled items from msconfig startup here:
http://www.get-in-control.com/msconfig-cleanup/   and  it worked just great.  After running  AntiSpyware and removing disabled itmes, the 'sdgdcd.exe' has not reappeared so this case is closed.
Thanks to Tolomir for putting me onto Microsoft AntiSpyware.  It worked great and my system is definitely running better without all the junk.

FYI:

To Home Users: Do you want free security programs that really works?
http://msmvps.com/donna/archive/2004/12/06/22450.aspx

Zee

Cheers for the points :)

oops, looks like I goofed up ...I meant to accept Tolomir's answer and give kneH assist points...  I don't know how the points fell but I intended 350 to Tolomir and 150 to kneH...I don't know if anything can be done at this point but if either of you have an issue let me know and I'll contact support..
  thanks again to you both and...
  sorry

Don't worry, It's alright, I got my 350 * grade A points.

It would be just for the record to swap accepted answer and assisted answer. Since now kneH's answer would be shown as the proper answer. But, think that isn't that important. (Correct me if I'm wrong)

Tolomir