I would check in your add/remove programs to see which version you have installed. If it's older than the version being offered then uninstall it and update to the latest one. Even if you only use Internet Explorer occasionally it's always best to be fully up to date with all add ons / active x's.

P.S. When downloading the Shockwave player you may be given the option to install the Yahoo Companion Toolbar . In fact i seem to remember it's the default setting so if you don't want it installed you'll have to untick the option.