Listen up newbs. LOL
Seems to me you have a browser hijacker. Go and download hijackthis, do a google search for "hijackthis".
It will help you rid your comp of most hijack programs.
The message you get is most likely real. If you are having problems with files, then you know why. Someone is fucking with your comp.
I've had someone install a backdoor on my comp through an email which I didn't detect until my files started going missing and some even got corrupted. Turns out my buddy was taking the files and fucking with me.
Anyways, spybot most likely didn't cause your problem. Spybot is very reputable and is touted as one of the best free anti-spam, anti-spyware software out there. Most likely you got screwed while surfing. You might have clicked yes and it went downhill from there.
So in conclusion, it's not over yet. Just get hijackthis and it should help you out. One thing you should do if you haven't already done so is go into Control Panel, then click Administrative Tools, then click Services, then select Messenger, then make sure it is "stopped" and "disabled". There has been cases of backdoors being sent through that port. Good luck brother.
lol