So, to start, I use ZoneAlarm. Latest update. I don't have any antivirus, only ZoneAlarm itself and Spybot S&D. About two or so weeks ago ZoneAlarm notified me of dotmessengers.exe trying to access Spooler App or something like that. I just clicked deny and set it to kill the process every time it starts. I also deactivated the Spooler service. About 5 minutes ago though another weird executable named does12.exe (FYI both were in C:\WINDOWS\system32, I am using XP Pro SP2) tried to launch svchost.exe, this time not only I denied, but depleted does12.exe immediately, before which I checked, the file was created the same minute it tried to launch svchost.exe (I was browsing the Internet at the time). Is it something I should be worried about? Scanned with Spybot S&D, found nothing, so did Kaspersky online scanner

Certainly sounds like you have some sort of malware. dotmessengers.exe is a known malware file. You could try the software in the link to see if it helps. (I have no experience of this software, so can't make a personal recommendation, but this is the only reference to dotmessengers.exe that I could find.)

Yeah, it definitely sounds like you're under the attack by a stray virus or a piece of nasty malware. Yet saying that, Spybot Search and Destroy is usually pretty reliable for weeding out the bad cases of malware. Try booting in to safe mode and removing the files directly, and seek out another scanner for viruses to double check that it isn't something Spybot has accidentally skipped over. Do you have a premium anti-virus suite installed at all?

No, I don't, but I deleted the files along with some SkypeComm.dll file under safe mode and the PC performance is better since I deleted the files. Seems like problems are gone, at least I hope so

Your data isn't important enough to even run a free Virus Scanning product? Good luck with that.