From http://blogs.msdn.com/securitytipstalk/archive/2009/12/17/plagued-by-the-privacy-center-learn-how-to-remove-it.aspx :

There is a new fakeware out on the ‘Net that looks like a anti-malware application, and it installs on your PC automatically without your permission. As with most fake software, it is actually spyware disguised as a ligitamate anti-virus or anti-spyware/malware program. A popular one currently is Privacy Center -this is not a Microsoft application. Click here to learn how to identify it and rmove it.

Here is the announcement from Microsoft:
“Privacy Center is not Microsoft software. It’s a new form of fake antimalware software (also known as rogue security software) that pretends to help protect your computer, but is really a new form of spyware. It can slow down your computer and damage your files.

To remove the Privacy Center, download and use Microsoft Security Essentials, Microsoft Windows Defender, the Windows Live safety scanner, or another up-to-date scanning and removal tool.

For more technical information, see the Microsoft Malware Protection Center: Win32/Privacy Center.”

Computer Associates has a good article on this also at: http://community.ca.com/blogs/securityadvisor/archive/2008/10/14/two-good-looking-windows-security-centers-one-fake-one-real.aspx