Sounds like something was allowed permission to run, no matter what protection you have installed, if someone allows permission to the wrong program you will have a lot of trouble cleaning the system up again.
I installed several protective tools (including adaware and spybot) on a mates system, unfortunately he said yes without checking a program listed on a pop up and the next thing you know there are 687 pieces of spyware, adware, trojans, tracker cookies etc on the PC
