I've been constantly receiving alerts from my firewall (zonealarm) from a program trying to act as a server. Every time, it shows a different number and exinjs.p.exe as a constant. I've searched the net looking for information, and apparently there's nothing about it. I've run Ad-aware and SpyBot but they don't remove it. I've removed it by hand in Windows/Preftech and in the register
but it continues active, and now the .dll files name appear in blue. What's happening?

That is a remnant and or still active virus probably NewDotNet.

As a first response you might want to post a HijackThis log for review by our Pros in that section:

Please follow the instructions HERE & then post your log in a new thread in the Spyware, Adware, Viruses and HijackThis Logs section.

(Not in this section please).

Please specify what issues you appear to be experiencing along with your log