Alright, so I'm not going to outline an entire incident response procedure, but I will give you a place to start.
Download and run this tool. It is basically an in-depth snapshot of running processes on your machine. If you do have something running on your machine, 9.5 chances out of 10 it will come up in the hijackthis report. Now I will also say that if you're new to this type of thing, the resulting report i fairly hard to process, but if you're on other forums talking about this, than they're going to want to see that report.
Also, i recommend that you take a look at the proposed answers to this question which outline some general steps that one can take to mitigate threats. Like the responses there say, the only foolproof way to make sure you're not infected is to start from scratch; Wipe the disk and start over.
One last comment, if you do happen to find out that you have x or y rootkit/malware you can then research for the tool that removes it best. I know there have been a bunch of times where kaspersky rootkit removal tools have saved my rear-end. But I must again caution that if you remove one entity it does not mean that you've solved your problem. When you are able to remove malware you have no way to know if that's the initial attack, the result of a bigger issue, or the only case of malware on the machine.