sgbhp.exe is a part of spywareguard which is also available as SpywareBlaster. More information can be found here.

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This program is NOT for scanning and removing spyware that is already on your system but instead it offers protection for you to help prevent the crap from ever getting on your system! For all of you Internet Explorer users it will protect you from an ever growing list of ActiveX related driveby installations that hit so many people. It will also use the restricted zones feature of IE to completely block access to certain known bad domains. Both IE and Mozilla/FireFox users will benefit from ad cookie tracking which is classified as a form of spyware since it can track your visitation to a number of sites that use the same ad company.