Weird persistent security message shdoclc.dll

Hi all,

I have a recurring window popping up every time i use IE (version 6). It
happens sporadically but is pretty much guarantted to pop up when I access
hotmail or yahoo, i have no idea if thats related though.

The window pops up with a security warning saying:

The current site: ad.uk.doubleclick.net

is trying to open

Internet site: C:\windows\system32\shdoclc.dll

Do you want to open this site....etc etc

Needless to say I say no, the presence of the word "ad" makes me think its
spyware/adware so i simply say no. However its extremely annoying and i cant
get rid of it. I have Adaware, McAfee, Spybot and CW Shredder and none of
these detect it.

I googled it and got a microsoft support messgae in the google answers but
the link seems to be dead as it simply goes to the microsoft home page.

Any clues as to what this is? Is it something i should be concerned about
and is there a way to remove it?

Cheers