I have this XP-Guard program from somewhere... I do not know what happened but my desktop wallpaper says about "Warning! Win32/privacyremover.M64" and "Warning! Win32/Adware.Virtumonde" infections.... what should I do? How can I delete this parasite?

This is a virus in itself!!

To fix it, install & run a quick scan with Malwarebytes' scanner at http://download.bleepingcomputer.com/malwarebytes/mbam-setup.exe.

If that doesn't work, or you need more detail, go to http://www.bleepingcomputer.com/malware-removal/remove-xp-guard and follow the instructions.