What is it?
Windows Media Player IE Plugin - msdxm.ocx

What does it do?
msdxm.ocx - This is the activeX control used by internet explorer to integrate things like audio and video and playing it in the Windows Media Player.

This is described as a Toolbar by HJT. If you're looking at your HJT log you will see a line that looks something like this:
O3 - Toolbar: @msdxmLC.dll,-1@1033,&Radio - {8E718888-423F-11D2-876E-00A0C9082467} - C:WINDOWSsystem32msdxm.ocx

Virus Precautions:
You'll want to keep an eye on this google search for any known viruses. The normal location of this file is C:program filesgooglegoogletoolbar2.dll