pop up dialog boxes while connected to internet

I am getting random pop up dialog boxes after connecting to internet thru my dial up and browsing using ie6. for example A Dialog box with the following message-" Netlib.exe -No Disk
There is no disk in the drive.Please insert a disk into drive A:" .even after closing the dialog box keeps popping up again and again. on other occaisons it was dhcpclient.exe etc. is this because of a worm or virus infection?
  I would like to know if stellar phoenix provided firewall a good option to buy?or any other firewall which really works?I recently tried "adaware away" but it could be used only for 5 days trial period.
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Nirmal SharmaSolution ArchitectCommented:

That's because of SPywares in your system. Check spyware and remove using the following utility: - Microsoft Antispyware: -

Also stop Messenger service.

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Nirmal SharmaSolution ArchitectCommented:
Yes, its because of WORM or Spywares only. But before you go ahead to buy a firewall you need to clean malwares from your system.

1. Download HighJackThis from this web site and then kill unwanted entries: -

2. Next Install firewall and block unwanted traffic to your network.
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Windows 2000

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