I have sg. similar mystery here to Snark's, but luckily I don't see its effects. RegCleaner always finds the following lines in my registry:
HKEY_CLASSES_ROOT\grsfile\shell\open\command
HKEY_CLASSES_ROOT\gator\shell\open\command
I always clean it to have it reapper next time. I did all kind of file search, found nothing, Ad-Aware finds nothing, and I have no idea what puts them back. At least they doesn't seem to effect the puter in any way. Yes, I know about Gator, I don't know what installed it though. I know what installed it last time, but these lines keep reappearing for 3 months now.
That reminds me - addition to pgs92109 list. eDonkey comes bundled with spyware, and I was stupid enough to accidentally leave the option to install those on. BUT it is important to note, if you uncheck that option, it does an absolutely CLEAN install - I did a thourough search, and it doesn't put anything on your puter. (actually I did three installs - the first was when I payed more attention, then uninstalled it since I messed with my registry, could not connect to the net, and I didn't know why, thought it was donkey, but it was me writing maxconnections in my registry without any number which I remembered after a while. Then I had a spyware install, then uninstall, then clean install - again. I have a tendency to make my life difficult.) A small banner is on the top with three lines of text - that's all the ads it has (much less annoying then morph's ads).
