As Box has no-doubt already found, it comes with trojan software; that is it modus operandi. Google for 'WinZix problems' and you will find lots of links about cleaning up after it.

As for the hidden IE session: I spoke to one of the MRC guys here and he said such a thing happens when a program loads an IE component. The EULA says it serves advertising - I imagine that it would use the HTML rendering component to display the ads. Nothing sinister in and of itself, until you look at the whole package, as it were. :-)

Wade.