I just posted almost this exact same message in another thread but i feel this is a very important topic. This is a large problem i know because i deal with it multiple times a day at my job. a lot of you i am sure know about this and are smart about it but i know there are a lot of people out there who dont so this is for them:
It is called spyware/adware it is very bad and annoying. do some research before you go and download and install every application. these programs log what programs you use and what websites you visit(amongst other things) and then send all this information back to a server where they collect all the info. Another good program to remove spyware and adware is Adaware by lavasoft (just do a google search for it) these programs can also royally fuck up your connection, here on my campus i work for the university hooking people up to the network/internet and run into constant problems with this shit software. i must say this again PLEASE PLEASE be more careful with what you download and install on your machine. so for all you file sharing kids get kazaa lite it is free of the extra shit!
Gotta Love The Midwest