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The above comments are excellent with many good recommendations.

Here are a few that were left out:
- rkill, so the others will work
- customizing the Hosts file to prevent infection, http://www.mvps.org/winhelp2002/hosts.htm
- using WinPatrol portable to remove BHOs that HijackThis! cannot remove
- using Nirsoft's IECacheView, IEHistory, IECookieView, MozillaCacheView, MozillaHistoryView, MozillaCookiesView to track down the source of the infection