The active desktop is an issue. What's happened is that Spyware has hijacked your computer. The yellow triangle in your tray warning you of spyware is spyware itself trying to fool you into downloading more bogus anti-spyware software. That your desktop is even in active desktop mode means that some spyware has tried to turn your desktop to direct http feed to something without you knowing it, which could transmit more spyware to your computer or simply broadcast anything it wants on your desktop without you knowing it.
First thing, get combofix and run it, this is a serious tool though without much of an interface, it's mostly command prompt, but I can't recommend it enough for serious issues
http://freewarewiki.com/ComboFix
Next thing, get spybot S&D and immunize right away, then scan and fix:
http://www.safer-networking.org/index2.html
These should take care of your problems, if not come back to CP. Straight antivirus's are not really neccessary these days, most issues are purely spyware related or within the domain of free programs that will take care of both.