Taking Jingle's steps a bit further:
After you uninstall MyDMX, REBOOT. Then re-install.
Also, you should be at Service Pack 3 unless you've got some software package that just can not work with Service Pack 2. Also, are you installing as the machine admin? Do you have anti-virus software installed? If not, do you surf the web alot? Chances are if you're not running anti-virus software and Spybot Search and Destroy 1.62(current as of this posting) because all other spyware packages suck(they let their buds in, who backdoor and let others in, so it defeats the purpose), you're best of wiping, and starting from scratch again.