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Do a site search for "adaware" to see many recent threads (and some dating back a year) on this problem. The most plausible answer to your avoidance question is to restrict ActiveX controls in your Internet Explorer security settings. One of the sites you visited was hosting the installer for this thing, so it downloaded itself into your machine.
The search above will give you lots of other ploys to beware of.
I think it's appropriate to call this stuff "scumware" and I hope the word gets out and the companies that allow it pay the price... disgusting behaviour, IMHO.