[Metaphorik]

Out of the blue, a box popped up saying that my computer was not protected by XP Protection or something like that. Of course, I hit the Cancel button, but about 5 minutes later, it popped up again. Anyone think this might be a problem?

[HCD]

Sounds like Spyware/Malware.

[lunarlander]

Do you have Ad-aware http://lavasoft.com/products/ad_aware_free.php
and Spybot S&D http://www.safer-networking.org/index2.html

Do a scan with those.

[HCD]

Your best bet is start a post with a hijackthis log in the Malware and Hijackthis logs section. The guys will save you hours of work