If you have not had a chance, set aside some time to watch Advanced Malware Cleaning, an excellent webcast by Mark Russinovich. I used some of the techniques from that presentation to identify and remove malware on systems I have come across.
In the case here, the user would open Internet Explorer but was not able to connect to the Internet. This would happen a couple times a day. The problem was tracked down to the Proxy field not populating with the office ISA address and the field remained grayed out so it could not be toggled on directly. The issue could be worked around temporarily by editing the registry to enable the proxy but at some point it was getting removed again. I was already suspicious that this was related to malware because each day the user logged on, the virus protectionsuite would catch the same Dlls’ attempting to downloaded to the system and being deleted.
I would be using Process Explorer and Autoruns as my tools. Here were the first things I noticed:
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Windows Explored 