Windows (2000) Installer pop-up

I had this pop-up every time I open a new program.
I followed direction in Microsoft Technet article Q223300, deleted the .exe program but pop-up still persists. Maybe wrong program ?
I believe this was caused by some nasty internet site, I did not want to install anything !
What initiated Installer and how can I stop it ?
Talking about improved security in Microsoft IE 6 !!!
Any help is appreciated.