(1) From a command prompt, go to the Windows/System directory and type dir>nail.exe (this changes the contents of nail.exe and their software doesn't try to remedy this situation)
(2) Reboot. Upon startup you'll get an error message, but ignore it. You can now delete Nail.exe and it will not reappear.
(3) Finally, using RegEdit, go to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon and change the shell key to "c:\windows\explorer.exe"
Reboot and your system is now clean.
If that dont work, try downloading Ewido and posting a hijack this log