hacked invasion

recently I was chatting with a friend on MSN when I started receiving messages from them about a pic they had just taken and wanting to know if I wanted it sent to me, when I questioned them on the subject they told me they hadn’t made the offer, I suggested they get a firewall becoz it looked as if someone had hacked into their system, which I was correct, they caught someone with the firewall and blocked them successfully, but not till after this person left some sort of memory resident file offering a porn pic, tho there is no file to send, how do I find this file and delete it?