Explorer.exe connecting to internet!

Hey.
I encountered a strange problem I have no idea how to tackle. My sister's computer was infected with various trojans and other worms and I managed to clean it up, however there remained a strange issue. Whenever the Internet Explorer is used to connect to a website, the firewall pops up stating the Windows Explorer is trying to establish a connection to the specified address. It is as if the system was told to use explorer.exe instead of iexplore.exe to use a website browser. Removing iexplore.exe from the firewalls list of programs allowed to connect to the net yields no net activity when trying to use it to connect to a website.
Is there any way to return it to the proper state?

 

You don't say which firewall you're using, but in general you should deny web access to explorer.exe permanently in the firewall program, and then you won't get the disturbing messages. There should be a menu for this.