This is similar to my experience recently.
I was doing a usual check over with HiJack This which amongst a few other benign entries (how DO you get rid of that blasted Quicktime start up entry !!
) found
'cfmon.exe' which I 'fixed'.
A quick sweep with ewido, Adaware and Spybot found nothing and a thorough search of HD and registry did not find 'cfmon.exe'.
After a re-boot HiJack This found nothing so I assume I am clear.
Just goes to show no matter what you can easily pick up an infection, albeit in this case a partial one that didn't manage to install itself fully.
Take care out there