When I start IE (6), I get a dialog box pop-up that says:-
System Error Your PC was infected by unknown trojan It's dangerous for your system (critcal files can be lost) Click OK to download the antispyware program to clean your system (Recommended) [ OK ] [ Cancel ]
None of my usual tools (AVG, Spyware Terminator, or CCleaner), has found a problem.
You may have downloaded something bundled with a legit program. Basically if you have downloaded messenger Plus for example,it comes bundled with a sponsor that is adware/malware,if you do not untick the sponsor upon install...these things happen.
What have you downloaded recently ?
First follow mfletch's advice,you may find it better to run the scan in safemode.