serious virus,beware!

I have got virus in Win XP. It is not affecting my computer but it is only affecting Internet Explorer. Whenever I want to access internet, the sites do not open. I have downloaded new version of anti virus from internet. It is detecting virus caled winhllp.gaobot.exe and win.phexis.exe etc…I delete them time and again. But they still do not get deleted completely.

Why is this happening?
What would be the reason?