System Soap

While browsing with Netscape 4.75 or Opera 7.03 a blue screen (DOS?)
PopUp window appears saying;

"System Update"
"Your computer may be recording many or all your Internet
Activities.
Personal privacy protection is posible with System soap.
.... "

AdAware found a registry entry "Alexa DataMiner" and I deleted it.
But there must be more, or?

Any help is appreciated.
TIA
d.j.kant