Few months ago I had that buried in my Win ME machine's Restore Files so that although McAfee repeatedly said it had purged it from the system it kept reappearing.
Solution was to delete the Restore Files (used Emergency Recovery Disk to boot). Then reactivated "Restore" and carried on rejoicing.
Where it came from? Because McAfee has problems with Windows ME I had to disable it deliberately to fix the OS and I inadvertenly allowed the PC to acess the Web. So I was without McAfee's download scanning for a couple of hours and it can only have been then that the beast got on to the machine.
After that I "binned" ME and converted the machine to Win2K.