I too have a similar problem to Sorcha.
Just out of nowhere when I'm using my PC or not, an IE window pops up out of nowhere displaying one of the following 5 URL's:

http://66.33.0.35/spyblocs/adv/tdw8.html
http://adv1.eblocs.com/spyblocs/adv/admed_006.html
http://69.20.61.245/info@nictechnetworks.com/ad-armorie.htm
http://www.cursormania.com/?partner=ZCxdm424&spu=true
http://www.smileycentral.com/?partner=ZNxdm772&spu=true

each one randomly, at random intervals, I can either get one popping up a second after the other, or sometimes it can be about 10-20mins in between.
It's just really annoying however, I've tried scanning with
Ad-Aware SE 6,
SpyBot,
Online Pest Scan from Zone Alarm,
Norton Antivirus 2005,
NoAdware

and i've even enabled spyware blaster which blocks incoming spyware in advanced. all of the above programs detected something different and critical, and I was able to remove every single threat, however, none of which were related to the specific spyware threat that's causing my Internet Explorer to just execute out of nowhere.