It could be spyware/malware rather than a virus. The upshot of that being virus scanners won't pick it up but antispyware like AdAware or Spybot might. I recommend getting those on your system anyway for added security, if don't have them already.

There also online virus scans: This one from panda does a spyware scan too, could be worth a go.
Pandasoft Free Antivirus online

Pages like this list a lot of different trojans and nasties all calling themselves iexplore.exe

And this page has some advice for tackling it manually.

Quote
If you find this file in the system32 subdirectory then it is dangerous. I believe that it should reside in \Program Files\Internet Explorer. Remove all instances of it from the \windows\prefetch directory. Search through the registry in the HKLM....\Run and RunServices for data relating to "internet Explorer". Note the .EXE file name and remove this file from any where you can find it. My Opinion: nasty ad ware, and difficult to remove

There also seem to be variations named lexplore.exe (with an L instead of an I) to fool the unwary.

Hope something here is useful to you.