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A while ago I checked the option in IE's settings to always ask for 1st party cookies.

So then as I'm working (no browsers open) I started getting dialogue boxes about sites that I've never been to wanting to save cookies, and also some script warning errors. I ran scans using every AV I could get, and they didn't find anything, so I kind of forgot about it.

But then today I installed IE, and before long my history is full of pages I've never been to.

My current AV (Security Essentials) says there's nothing untoward, and a quick look through the list of running processes looks fine.

What's the next step to work out what's going on?

I'm running Windows 7 x64.

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Have you run a malware\spyware\adware scan yet? – CharlieRB Dec 30 '11 at 19:18
    
Kaspersky Internet Security 2011 and Microsoft Security Essentials both give it the green light – JustABitOfCode Dec 30 '11 at 19:30
    
Do you have any instant messengers or any other background software installed? – dnbrv Dec 30 '11 at 19:33
2  
You may want to try Malwarebytes, Spy-Bot and/or AdAware just in case its something Kaspersky or MSE might have missed. Here is an excelent answer to review just to cover all the bases. – CharlieRB Dec 30 '11 at 20:10
    
@CharlieRB that seems to have sorted it. Malwarebites didn't get it, Spy-Bot didn't get it, but AdAware kicked it's butt. Thanks for the help dude. – JustABitOfCode Dec 31 '11 at 19:24

I'd get a firewall, maybe Zone Alarm. It should be able to tell you what's running against those sites.

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