Be worried! - there is a hole in your defense ...
this one luckily gave itself away ... but what else have you got???
if you are lucky just plain adware but if it's spyware ...
you need to add spybot search and destroy
http://www.safer-networking.org/en/index.html
and ad-aware
http://www.lavasoftusa.com/products/ad_aware_f ree.php
to your toolkit pretty sharply
(install and use both - today)
and then at least one a week
A virus scanner won't detect malware - just like a malware scanner won't detect viruses... so it's not surprising and not necesarily a criticism of your scanner....