I did a scan with Ewido and it found Hijacker.Agent.a which it quarantined. On doing another scan it again appeared so this time I deleted it but next time I scanned it was back.
What is this and how can I get rid of it.

Thanks.

Sounds like it maybe stuck in one of the system restore points.
OPen My Computer > Right click C: Drive > Disc clean up button > wait a while > advanced tab > clean up restore points.

Sorry but I can't find a Disc clean up button that had advanced.
I am running Windows XP
Sorry could you explain again and thanks

Once you activated Disc clean up you have to wait a while.
The tab you are after is the More options one not advanced as I asaid earlier, my bad.
The system restore clean up is the last button.

Thanks so much... it seems to be gone now.

Oh no, I did another ewido scan and there it was, back again!

Any suggestions please
Thanks

OK Change of tack:
First things first, remove all the junk on your system with CCleaner (http://www.ccleaner.com), extremely easy to use.
To make sure everything is running fine run both anti virus and anti spyware apps in normal AND safe modes. (make sure that they are updated first ! ;)) (AVG (http://free.grisoft.com/doc/1) is good and free AV)
(A couple of good removal tools are Spybot (http://www.safer-networking.org/) and Adaware (http://www.lavasoftusa.com/software/adaware/))

ALso an on line virus and spyware scanner is Trend Housecall (http://housecall.trendmicro.com/)

IMPORTANT: DELETE EVERYTHING THESE SCANNERS FIND

Just a note; actively running two AV's on one machine can cause problems.
So if you are thinking about it make sure your current one is disabled first.
SAme thing applies to online scanners as well.

If this doesn't work can you please let us know more of the symptons and your computers setup.

Ok I did everything you suggested. Deleted the file IE5. I now see that this IE5 has come back and guess what is there... Hijacker.Agent.a. Nothing else finds it except Ewido.
Also, Trend found this and I don't know what it is...
MS06-037
Vulnerabilities in Microsoft Excel could allow remote code execution 917285
I am sorry but I am totally lost now as I have updated everything there is to update.
Help once more please... and thanks

Please start using firefox (http://securitynewsfromthenet.blogspot.com/) instead of IE if you already haven't .Also you would need to be guided with hijack this (http://www.bleepingcomputer.com/forums/topic66936.html) to find out what's causing the problems .