I just came across this and wanted to throw it up for any of our readers that don't visit the Websense blog. According to their article the Dolphin Stadium website has been compromised and infected with malicious code. This code attempts to install a trojan keylogger/backdoor via two patched Microsoft vulnerabilities (MS06-014 and MS07-004).
If you haven't visited Microsoft Update in a while, now is a great time to browser over and ensure that your computer is up to date.