Start.exe is probably part of the software you're installing. What are you
installing, how are you doing it, when does the error occur? A little more
info might get you a useful answer.
There are a number of viruses that use a "start.exe"
You should do a scan, but do it from CD boot or from one
of the many Internet scans that isolate your hard drive
and use the latest anti-V defs.
I've seen infected machines say the coast is clear
because a virus damaged Norton or McAfee in such a way
that the scans look like they're happening, but the scans
are worthless. To do a good scan, don't boot off the hard
drive.