Malware distributed by MSN Messenger banner ads
I'm sure this won't be the case for long, Microsoft tend to be good about addressing things like this.
Fellow MVP Sandi Hardmeier has put out a very detailed post about the problem, I suggest you read about it there. It does raise some interesting questions. Not least, how are we supposed to protect ourselves against these things? I think her suggestion about making sure that you close unexpected windows using the 'x' in the corner is a good one. And making sure that you have firewalls and virus checkers is an absolute must. Using the 'hosts file' protection against this particular problem will help too.