Unwanted Pop-Up advertisement

I’m using WinXP with Office XP and recently i’m not sure what have I done to my PC, an unwanted advertisement always pop-up not only when i run IE 6.0, but also will appear when i close all the programs and leave the PC like that. It happen severalminutes once. I wonder how can i remove the pop-up advertisement? I’ve installed quite a number of programs recently, but i’m not very sure which one cause this happen. I would like to know is there a way to remove this?