Captain Over,
Do you remember a popup offering to you the option to install a plug-in? If you had the Gator plug-in window and you clicked the option to let it install, you would have allowed Gator into your system. If you did not see any popup window, then your IE Security settings are too low.
Here is an article on Gator from TechTv's Call for Help:
Remove Gator
Take Care,
Richard