Trojans are malicious applications that pose themselves as legitimate software in order to trick users to install them. Once on the victim's machine, it may run any number of malicious process to steal vital information or inflict damage to other software.
This is a trojan that installs the alexa toolbar without user consent in order to inflate the alexa ranking of the distributor's website.
When demnsvr.exe is installed, it loads demnsvrBHO.dll to the registry.
This is the program that is ran to clear your cookie cache. When the trojan is completely installed, it clears the cookie cache without showing this screen.