That's abnormal. You're probably infected with spyware or a trojan of some kind.
You should get and run MS Anti-Spyware or Spybot Search & Destroy / AdAware... the usual recommendations. SysInternals' Autoruns can also be of great use to remove stuff from starting automatically at start; but you should know what you're doing.
Ultimately, for "deep" infections, the best way to clean the PC is to boot from a CD and clean the system while you're certain that no crapware is running. Something like ERD from SysInternals or BartPE (free) will do. Here again, a good knowledge of how Windows boots is essential.
If you've got no important data, or actually have a backup of it (and it's been my experience that users never have backups), the simplest way is of course the old reformat-reinstall routine.