It's most likely a trojan horse, though I'm surprised you got it now. I remember 7-8 years ago when I just started using a computer on Windows 98 or something, I downloaded stuff that you shouldn't download and it kept messing with me.
At one point, a black screen just appears and turns into a Matrix themed MSN thing where this guy kept talking to me and I couldn't exit. Random stuff happened to. I'm pretty sure those exploits were fixed way before or during Windows XP so even if you download something, it won't mess up your computer.