I got hit by an annoying browser "helper" object recently when I installed the latest (crappy, gnutella-based) version of Morpheus. It had installed a browser helper object that redirected through a stat-gathering site every time I went to a site whose name it knew. More of an annoyance to me than anything else (it just made my back button not work properly), but I can imagine such a beast could be really, really nasty.

Check this story for info:

"MOrpheus gives Web Surfers a Detour"
<A HREF="http://news.com.com/2100-1023-864086.html">http://news.com.com/2100-1023-864086.html</A>

Here's a microsoft tech note on it (for IE 4, but still applies):
<A HREF="http://support.microsoft.com/default.aspx?scid=kb;EN-US;q179230">http://support.microsoft.com/default.aspx?scid=kb;EN-US;q179230</A>

And here's some (not end-usery) software that'll help you track it down:
PC Mag's BHO Cop 1.0 (for win 9x/NT/2000/XP)
<A HREF="http://download.cnet.com/downloads/0-3364664-100-5930345.html">http://download.cnet.com/downloads/0-3364664-100-5930345.html</A>

_/ C