I'm not sure, it seems that it's normally installed in your windows/system folder but has it's attributes set to readonly/system/hidden and it attaches to other running processes so windows based cleaners can't remove it. Some of them can't even see it.
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I checked the logs and it looks like the file is called rdspclips.exe in the windows/system directory and a BHO called mshufs.dll. A quick hunt on the net doesn't show much for these files at all.
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The first clue you've got coolWWWsearch is that your home page is about:blank and you might have an extra toolbar. Another obvious thing is that in the bottom info bar of explorer, when you go somewhere simple like Google you can see loads of activity like other pages loading but you never see them.
Running SPYBOT tells you you've got it, but it can only clean the registry entries and doesn't remove the file. MS AntiSpy updated my definitions today so perhaps it can kill it now as well.