Years ago, I was browsing through the Tech rooms in yahoo when this random person IM'ed me, I ignored him as I usually do to people who I don't know. Then, possibly because I ignored him, he tried to send me a file, I clicked the "cancel" button, but for some strange reason, it began the download instead of stopping it. After it finished downloading, which only took maybe five seconds to do so, even on my slow internet connection, the download box disappeared and the guy sent another IM saying, "Thanks." About 5 minutes later, I was kicked from the Yahoo! server and when I tried to log back in, it said I was using the incorrect password. I tried again, and againt to no avail. Then I got the bright idea of just goig to the Yahoo! site and requesting a new password using my "secret question/answer", D.o.B. and such information. I put in all the information correctly, but it said I had not.
To help me end this story sooner... blah blah blah, blah blah blah blah, blah... Turned out there was a program on my computer that was sending this other person *ALL* of my passwords and usernames that I tried to use on Yahoo! Messenger, even ones I had just made to tell my friends to block my old ID as it was "hacked." This program was called something along the lines of "Magic8-ballX." Obviously there are programs out there like this, and my question is where can I go to get myself one of these as I'm damned curious about them, how can I prevent it from happening to me (my current solution is YaHeLite) and why exactly it was still downloaded and installed onto my computer even though I had clicked the "cancel" button.

Any and all information about this would be very helpful, thanks.