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I believe I found the solution on how/why this happens. I was browsing around with hijackthis on my system and I asked to see an explanation of the file "O16". This is what it gave me for this type of file:
The downloaded files (DPF) folder in your Windows base folder holds various types of programs that were
downloaded from the internet. These programs are loaded whenver IE is active. Legitimate examples are the
Java VM, Microsoft XML Parser, and the Google toolbar.
Unfortunately, due to the lack security of IE, malicious sites let IE automatically download porn dialers,
bogus plugins, AciveX objects, ...etc. to this folder, which will haunt you with popups, huge phone bills,
random crashes, browser hijackings and whatnot.
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