Si tratta di una chiave di registro legata a MSN...prova a fare una scansione con HijackThis e incollaci il log, così vediamo.

Per incollare il log, usa il tasto SPOILER.

Logfile of Trend Micro HijackThis v2.0.2
Scan saved at 13.21.40, on 20/08/2009
Platform: Windows XP SP3 (WinNT 5.01.2600)
MSIE: Internet Explorer v8.00 (8.00.6001.18372)
Boot mode: Normal

Running processes:
C:\WINDOWS\System32\smss.exe
C:\WINDOWS\system32\csrss.exe
C:\WINDOWS\system32\winlogon.exe
C:\WINDOWS\system32\services.exe
C:\WINDOWS\system32\lsass.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\System32\svchost.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\System32\wltrysvc.exe
C:\WINDOWS\System32\bcmwltry.exe
C:\WINDOWS\system32\spoolsv.exe
C:\WINDOWS\system32\svchost.exe
C:\Programmi\Ashampoo\Ashampoo AntiSpyWare 2\AntiSpyWareService.exe
C:\Programmi\AskBarDis\bar\bin\AskService.exe
C:\Programmi\AskBarDis\bar\bin\ASKUpgrade.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\system32\drivers\CDAC11BA.EXE
C:\Programmi\Java\jre6\bin\jqs.exe
C:\Programmi\Nero\Nero8\Nero BackItUp\NBService.exe
C:\Programmi\Alcohol Soft\Alcohol 120\StarWind\StarWindServiceAE.exe
C:\WINDOWS\system32\svchost.exe
C:\WINDOWS\System32\alg.exe
C:\WINDOWS\system32\wbem\wmiapsrv.exe
C:\WINDOWS\Explorer.EXE
C:\WINDOWS\system32\VTTimer.exe
C:\WINDOWS\system32\S3trayp.exe
C:\Programmi\Apoint2K\Apoint.exe
C:\WINDOWS\system32\WLTRAY.exe
C:\WINDOWS\system32\rundll32.exe
C:\Programmi\Java\jre6\bin\jusched.exe
C:\Programmi\Windows Live\Messenger\MsnMsgr.Exe
C:\Programmi\File comuni\Nero\Lib\NMIndexStoreSvr.exe
C:\WINDOWS\system32\ctfmon.exe
C:\Programmi\DAEMON Tools Lite\daemon.exe
C:\Programmi\Spybot - Search & Destroy\TeaTimer.exe
C:\Programmi\Nokia\Nokia PC Suite 7\PCSuite.exe
C:\Programmi\Toshiba\Bluetooth Toshiba Stack\TosBtMng.exe
C:\Programmi\Toshiba\Bluetooth Toshiba Stack\TosA2dp.exe
C:\Programmi\Toshiba\Bluetooth Toshiba Stack\TosBtHsp.exe
C:\Programmi\File comuni\Nero\Lib\NMIndexingService.exe
C:\Programmi\Apoint2K\Apntex.exe
C:\Programmi\PC Connectivity Solution\ServiceLayer.exe
C:\Programmi\PC Connectivity Solution\Transports\NclUSBSrv.exe
C:\Programmi\PC Connectivity Solution\Transports\NclRSSrv.exe
C:\Programmi\PC Connectivity Solution\Transports\NclToBTSrv.exe
C:\Programmi\Mozilla Firefox\firefox.exe
C:\Documents and Settings\xxx\Desktop\HijackThis.exe
C:\WINDOWS\system32\wbem\wmiprvse.exe

R0 - HKCU\Software\Microsoft\Internet Explorer\Main,Start Page = Search
R1 - HKLM\Software\Microsoft\Internet Explorer\Main,Default_Page_URL = MSN.com
R1 - HKLM\Software\Microsoft\Internet Explorer\Main,Default_Search_URL = Bing
R1 - HKLM\Software\Microsoft\Internet Explorer\Main,Search Page = Bing
R0 - HKLM\Software\Microsoft\Internet Explorer\Main,Start Page = MSN.com
R0 - HKCU\Software\Microsoft\Internet Explorer\Toolbar,LinksFolderName = Collegamenti
O2 - BHO: AcroIEHelperStub - {18DF081C-E8AD-4283-A596-FA578C2EBDC3} - C:\Programmi\File comuni\Adobe\Acrobat\ActiveX\AcroIEHelperShim.dll
O2 - BHO: AskBar BHO - {201f27d4-3704-41d6-89c1-aa35e39143ed} - C:\Programmi\AskBarDis\bar\bin\askBar.dll
O2 - BHO: Spybot-S&D IE Protection - {53707962-6F74-2D53-2644-206D7942484F} - C:\PROGRA~1\SPYBOT~1\SDHelper.dll
O2 - BHO: (no name) - {7E853D72-626A-48EC-A868-BA8D5E23E045} - (no file)
O2 - BHO: (no name) - {C2CE9568-3392-3BC8-8086-E88C571A6193} - (no file)
O2 - BHO: Java(tm) Plug-In 2 SSV Helper - {DBC80044-A445-435b-BC74-9C25C1C588A9} - C:\Programmi\Java\jre6\bin\jp2ssv.dll
O3 - Toolbar: Ask Toolbar - {3041d03e-fd4b-44e0-b742-2d9b88305f98} - C:\Programmi\AskBarDis\bar\bin\askBar.dll
O4 - HKLM\..\Run: [VTTimer] VTTimer.exe
O4 - HKLM\..\Run: [S3Trayp] S3trayp.exe
O4 - HKLM\..\Run: [Apoint] C:\Programmi\Apoint2K\Apoint.exe
O4 - HKLM\..\Run: [Broadcom Wireless Manager UI] C:\WINDOWS\system32\WLTRAY
O4 - HKLM\..\Run: [BluetoothAuthenticationAgent] rundll32.exe bthprops.cpl,,BluetoothAuthenticationAgent
O4 - HKLM\..\Run: [Adobe Reader Speed Launcher] "C:\Programmi\Adobe\Reader 9.0\Reader\Reader_sl.exe"
O4 - HKLM\..\Run: [AntiSpyWare2Guard] C:\Programmi\Ashampoo\Ashampoo AntiSpyWare 2\AntiSpyWare2Guard.exe
O4 - HKLM\..\Run: [NBKeyScan] "C:\Programmi\Nero\Nero8\Nero BackItUp\NBKeyScan.exe"
O4 - HKLM\..\Run: [SunJavaUpdateSched] "C:\Programmi\Java\jre6\bin\jusched.exe"
O4 - HKLM\..\Run: [NeroFilterCheck] C:\Programmi\File comuni\Nero\Lib\NeroCheck.exe
O4 - HKLM\..\Run: [KernelFaultCheck] %systemroot%\system32\dumprep 0 -k
O4 - HKCU\..\Run: [MsnMsgr] "C:\Programmi\Windows Live\Messenger\MsnMsgr.Exe" /background
O4 - HKCU\..\Run: [IndxStoreSvr_{79662E04-7C6C-4d9f-84C7-88D8A56B10AA}] "C:\Programmi\File comuni\Nero\Lib\NMIndexStoreSvr.exe" ASO-616B5711-6DAE-4795-A05F-39A1E5104020
O4 - HKCU\..\Run: [ctfmon.exe] C:\WINDOWS\system32\ctfmon.exe
O4 - HKCU\..\Run: [DAEMON Tools Lite] "C:\Programmi\DAEMON Tools Lite\daemon.exe" -autorun
O4 - HKCU\..\Run: [SpybotSD TeaTimer] C:\Programmi\Spybot - Search & Destroy\TeaTimer.exe
O4 - HKCU\..\Run: [PC Suite Tray] "C:\Programmi\Nokia\Nokia PC Suite 7\PCSuite.exe" -onlytray
O4 - HKUS\S-1-5-19\..\Run: [CTFMON.EXE] C:\WINDOWS\system32\CTFMON.EXE (User 'SERVIZIO LOCALE')
O4 - HKUS\S-1-5-20\..\Run: [CTFMON.EXE] C:\WINDOWS\system32\CTFMON.EXE (User 'SERVIZIO DI RETE')
O4 - HKUS\S-1-5-18\..\Run: [CTFMON.EXE] C:\WINDOWS\system32\CTFMON.EXE (User 'SYSTEM')
O4 - HKUS\.DEFAULT\..\Run: [CTFMON.EXE] C:\WINDOWS\system32\CTFMON.EXE (User 'Default user')
O4 - Global Startup: Bluetooth Manager.lnk = ?
O8 - Extra context menu item: E&sporta in Microsoft Excel - res://C:\PROGRA~1\MICROS~2\OFFICE11\EXCEL.EXE/3000
O9 - Extra button: Ricerche - {92780B25-18CC-41C8-B9BE-3C9C571A8263} - C:\PROGRA~1\MICROS~2\OFFICE11\REFIEBAR.DLL
O9 - Extra button: (no name) - {DFB852A3-47F8-48C4-A200-58CAB36FD2A2} - C:\PROGRA~1\SPYBOT~1\SDHelper.dll
O9 - Extra 'Tools' menuitem: Spybot - Search & Destroy Configuration - {DFB852A3-47F8-48C4-A200-58CAB36FD2A2} - C:\PROGRA~1\SPYBOT~1\SDHelper.dll
O9 - Extra button: (no name) - {e2e2dd38-d088-4134-82b7-f2ba38496583} - C:\WINDOWS\Network Diagnostic\xpnetdiag.exe
O9 - Extra 'Tools' menuitem: @xpsp3res.dll,-20001 - {e2e2dd38-d088-4134-82b7-f2ba38496583} - C:\WINDOWS\Network Diagnostic\xpnetdiag.exe
O9 - Extra button: Messenger - {FB5F1910-F110-11d2-BB9E-00C04F795683} - C:\Programmi\Messenger\msmsgs.exe
O9 - Extra 'Tools' menuitem: Windows Messenger - {FB5F1910-F110-11d2-BB9E-00C04F795683} - C:\Programmi\Messenger\msmsgs.exe
O16 - DPF: {6414512B-B978-451D-A0D8-FCFDF33E833C} (WUWebControl Class) - http://www.update.microsoft.com/wind...?1229120807156
O17 - HKLM\System\CCS\Services\Tcpip\..\{F33AFC0E-439A-439C-9F4F-FECF3A933093}: NameServer = 192.168.1.1
O23 - Service: Ashampoo AntiSpyWare 2 Service (AASW2_Service) - Unknown owner - C:\Programmi\Ashampoo\Ashampoo AntiSpyWare 2\AntiSpyWareService.exe
O23 - Service: ASKService - Unknown owner - C:\Programmi\AskBarDis\bar\bin\AskService.exe
O23 - Service: ASKUpgrade - Unknown owner - C:\Programmi\AskBarDis\bar\bin\ASKUpgrade.exe
O23 - Service: C-DillaCdaC11BA - Macrovision - C:\WINDOWS\system32\drivers\CDAC11BA.EXE
O23 - Service: FLEXnet Licensing Service - Macrovision Europe Ltd. - C:\Programmi\File comuni\Macrovision Shared\FLEXnet Publisher\FNPLicensingService.exe
O23 - Service: Java Quick Starter (JavaQuickStarterService) - Sun Microsystems, Inc. - C:\Programmi\Java\jre6\bin\jqs.exe
O23 - Service: Nero BackItUp Scheduler 3 - Nero AG - C:\Programmi\Nero\Nero8\Nero BackItUp\NBService.exe
O23 - Service: NMIndexingService - Nero AG - C:\Programmi\File comuni\Nero\Lib\NMIndexingService.exe
O23 - Service: ServiceLayer - Nokia. - C:\Programmi\PC Connectivity Solution\ServiceLayer.exe
O23 - Service: StarWind AE Service (StarWindServiceAE) - Rocket Division Software - C:\Programmi\Alcohol Soft\Alcohol 120\StarWind\StarWindServiceAE.exe
O23 - Service: Broadcom Wireless LAN Tray Service (wltrysvc) - Unknown owner - C:\WINDOWS\System32\wltrysvc.exe

--
End of file - 8182 bytes

Non so minimamente dove mettere le mani

Dal log non compaiono problemi relativi a quella chiave..
Compare come file vuoto, ma ho letto ovunque sul web che non va cancellata perchè fa parte di MSN.
Ci dovrebbe essere una sottochiave simile nel registro di sistema, ma non so di preci so dove si trova..

Prova a fare una bella scansione del registro di sistema con Wise Registry Cleaner, poi elimina i valori con gli scudi verdi.

Inoltre quando compare l'avviso e lo blocchi, riesci ad usare MSN?