Does this problem occur when you try to run something? or just on boot up it pops up?
If it appears on boot up, browse to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run via regedit. Hopefully you find that DLL in there. Sounds like a virus or spyware of somesort. Try a spyware scan (preferrably AdAware) and a full virus scan, after that run a registry cleaner (CCleaner works great) If none of these work, then look for it in that registry key.
Let me know how it goes.