currently fighting this on a work PC, again no idea where it came from or how it got on there.
the exe file is resident here: -
C:\Documents and Settings\[user]\Local Settings\Application Data\
you will need to open 'my computer' manually type the directory in the top bar, is this program hides itself.
there is a folder with some weird name like VU.......
inside that folder is a file : - fyujedb.exe
alternatively serach for that file name and in advanced setting set it to search hidden folders.
delete the file and folder. restart PC. That will stop it operating enough to allow you to get rid of rest of it.
It also changes all proxy settings in IE and firefox, so you'll need to reset those before getting on the net. Still not fully rid but getting there.
still something running, as it still re-hides the 'local' settings' folder. some sort of macro thing goes on when I do show hidden folders that re-hides them again
Tony