Problem with flash cookie cleaner?

I installed the flash cookie cleaner at flashcookiecleaner.com. But, every time i turn on my pc a box appears that says run or cancel the file every time i log into windows. How do i prevent that box from appearing when i log into windows? It happends every time.

Its not in the add/remove programs, i use windows xp and i use the newer model dell computer.

You know when you download a file, and after you open it, the box that gives you the option to run or cancel the file installation appears every time i log into windows. So please if anyone or any expert in this topic can tell me how to prevent that box from popping up you'll get 10 points, thank you and have a nice day.