Ok I don't like to jump in when others are already helping but it is apparent this is a rather easy fix which has yet to be resolved, along the lines of what bogdan stated you have a broken .exe association which is commom like proxy settings being changed as Dman mentioned earlier, common malware infection mess. The best solution I have been using involves a .com file and not an exe or .reg file since those do not always work, the .com however works every time and has never failed and is what I use, just yesterday for an older lady as a matter of fact with similar problems.
Pop over here and download exefix_xp.com utility. http://windowsxp.mvps.org/exefile.htm
Just stick it on a usb stick and run it, done, so quick and easy and afterwards you can run Mbam and the other apps and do the remaining cleanup. Should knock this all out in a few hours max assuming you do some full scans and get back to enjoying the PC rather than fighting it.
Have a good day and the rest of the advice given will get you squared away once you have knocked out the exe problem with this .com type fix.