"Windows Privacy Protection" Virus

[Max-Powers]

How do I get rid of this thing? I was offline when it started to come up and change my background telling me to go to this website to scan for spyware. I am kinda affraid to turn on the wireless on my laptop. What will this thing do?
I have windows XP.

 

[pxc]

This site has manual removal instructions: http://www.spywareremove.com/removeWindowsprivacyprotectioncom.html