The filename _SFX_.dll is a generic "CAB File" that has been used in a number of Micorosoft updates and hotfixes, so there is the possibility that it's a leftover from a failed prior "fix" from Microsoft.

Note that hotfixes, as opposed to patches, are "workarounds" issued to help with specific problems prior to development of general patches that eliminate the problem, and should NEVER be installed unless they apply to a problem found, verified, and unresponsive to general operational fixes on a specific computer.

ONE EXAMPLE is at KB81604, which offers a hotfix for a specific kind of driver conflict. The filename has appeared (as noted, it's "generic") in a number of patches, and there's no easy way of telling which one yours might have come from.

Unfortunately, the filename also has been suspected to have been "aped" by one or more malware programs, so without confirmation of where your copy came from there is no safe way for most users to "investigate" or do much of anything about it.

You haven't indicated what OS you're using, but if it's a recently current Windows version and you're not absolutely certain that it's up to date, the best first step would be to visit Microsoft Update, get your computer scanned for critical updates and download and install ALL CRITICAL UPDATES, including the Microsoft Malware Detector that will be part of the recommended "Critical Updates."

Critical updates will be downloaded and installed if you select "Express Install." If you're using WinXP or later, you can separately select "Custom Install" and look at optional updates on the chance that a patch for your hardware configuration may not have been distributed for all computers. (I'd suggest going back for a second scan and "Custom Install" after you've done an Express Install of Critical stuff.)

If your _SPX_.dll is a "leftover" from a valid update or hotfix that failed to install, completing the updates should replace/delete any failed installations and any prior hotfixes that have been superceded by full patches.

In one or two hotfixes, the extraction of files and installation may be blocked by the patch installation program, if there were conflicting hardware/drivers on your machine. This would imply that you (or someone who "fixed" things for you¹) didn't read and verify all the conditions for installing the particular hotfix. In this case the installation may still be trying to "finish," and could be repeatedly rejected. An update that incorporates or removes the need for the hotfix should clear this.

¹ "Someone" could include a program author (freeware?), especially of something that promises to solve a lot of your problems.

IF YOU HAPPPEN TO BE RUNNING VISTA, be aware that Vista itself may block insstallation of drivers that it doesn't think are "compatible," and the _SPX_.dll sometimes is a Drivers CAB file, so you could be seeing a Vista warning rather than a spyware warning(??????). My anti-everything looks quite different than the Vista notice, but with yours the notices might be similar(?).

John