it's probably a link to a site which uses one of 32453248372 internet explorer exploits. Since you already have it, go trace it, and disassemble it.
most likely it copies itself to a certain registry that starts up with your computer.
without the actual exe, I cannot tell you exactly what it does, but I have a good guess...
go to start->run and type regedit
go to HKEY_LOCAL_MACHINE (check hkey_current_user too) -> software -> MS -> windows -> currentversion -> run
everything in there starts up with your comp
there is alot of other ways it could be starting up with your machine, but this is the most common way. If the creator is smart about it you might have to do a little more work, but the best way would be like I said to get the exe and have it tell you what it does
reverse engineering baby