I've never had a need to install any of that stuff. ActiveX controls/programs are the root of all evil in internet explorer. They're a great idea, but just purely used for evil. (I was always impressed with msnbc.com's pull out menu with ActiveX)
I see it happen all the time. Someone is so impatient to download to get a movie/song/anime/game that they will click through a series of installation prompts without even knowing what they have just done, they're too worried about downloading or seeing whatever it is they want to see.
Use mozilla firebird or mozilla products folks, stop running this rat race. Or to help your IE, disable ActiveX and only enable for sites you know are good that use it.
Then again, programs like Kazaa are no help either. If it's free then you're probably going to always have this problem.
you'd be surprised tho. i bet ad-aware would find at least 1 or two registry keys or programs running. that stuff is tricky man. especially if somebody else has ever used your computer.
you can use kazaa lite.