MSE just shown this on my computer and from where could it come from?

It was reported to be in your temporary internet files. Clean those using CCleaner or DiskCleanup and run a MSE scan. You also could get a second opinion from an online scan such as http://www.eset.eu/online-scanner
This scan works best with IE. Alternate browsers require downloading and installing the ESET Smart Installer.
•    Accept the Terms of Use:
•    Approve the install of the required ActiveX Control, then follow on-screen instructions. 
*  Disable the protection of your resident MSE anti-virus program after installing the
active X control that Eset has installed and again when you actually start scanning.

No, you do not have to disable MSE in order to run CCleaner. CCleaner is not an anti-virus, so there will be no conflicts.

Here is the link:

http://www.ccleaner.com/download/builds

** Select to download the SLIM version.

** Because CCleaner removes everything in temp folders, if you have anything saved in a temp folder, back it up or move it to a permanent folder prior to running CCleaner.

** We will be cleaning cookies as well. Make a note of any passwords, etc. that you want to save. If you do not want to delete cookies, simply uncheck that option.

1. Before first use, select Options > Advanced and UNCHECK "Only delete files in Windows Temp folder older than 48 hours"

2. Then select the items you wish to clean up. In the Windows Tab:

• Clean all entries in the "Internet Explorer" section.
• Clean all the entries in the "Windows Explorer" section
• Clean all entries in the "System" section.
• Clean all entries in the "Advanced" section.
• Clean any others that you choose. In the Applications Tab:
• Clean all in the Firefox/Mozilla section if you use it.
• Clean all in the Opera section if you use it.
• Clean Sun Java in the Internet Section.
• Clean any others that you choose.

3. Click the "Analyze" button. When the list of files comes up, click the "Run Cleaner" button.

4. A pop up box will appear advising this process will permanently delete files from your system.

5. Click "OK" and it will scan and clean your system.

6. Click "exit" when done. REBOOT.