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Here are the instructions that I used to remove SAHAgent:

"SAHAgent is a Winsock2 Layered Service Provider. As such, if you merely delete registry entries and files, you stand a good chance of losing your network and Internet connections.

Follow these removal instructions to remove SAHAgent from your computer:

1. Click Start > Settings > Add/Remove Programs > Control Panel, and select the entry 'ShopAtHomeSelect Agent' and click 'Remove' to remove the software.
2. Reboot your Windows.
3. Once you have uninstalled via Add/Remove programs, you can delete the damaged '{30402FF4-3E71-4A1C-9B4B-1CD3486A9FB2}' entry inside your 'Downloaded Program Files' folder, the 'SAHUninstall.exe' file in the 'Windows' folder and 'SahAgent.log' in the root of the C: drive to clean up.
4. If the entry for ShopAtHomeSelect remains in your Add/Remove Programs even though the software is uninstalled, you can remove it by opening the registry editor (Start->Run->regedit) and deleting the key:
'HKEY_LOCAL_MACHINE \ SOFTWARE \ Microsoft \ Windows \ CurrentVersion \ Uninstall \ ShopAtHomeSelect Agent'."

This was all the further I had to go, and after this, SahAgent never showed up again in my processes list. But, if it doesn't work, you'll have to go on:

"If the above procedures do not work for any reason, you may remove SAHAgent manually, but at great risk of losing your network and Internet connections:

1. Open the registry editor(Start->Open->regedit) and find the key :HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run . Delete the 'SAHAgent' entry.
2. Deregister the LSP part of ShopAtHomeSelect. Run 'regedit' and find the key HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\WinSock2\Parameters\Protocol_Catalog9 . For each key in Catalog_Entries, open the 'PackedCatalogItem' value and check if it starts with 'lsp.dll'. If it does delete that entry. Renumber the remaining keys so that they count up from 000000000001 one at a time, and set the 'Num_Catalog_Entries' value in Protocol_Catalog9 to the highest key number you have.
3. Open a DOS command prompt window (from Start->Programs->Accessories) and enter these commands:
cd "%WinDir%\System"
regsvr32 /u "..\Downloaded Program Files\WEBinstaller.dll"
cd "..\Downloaded Program Files"
del WEBinstaller.dll
del SAH*.exe
4. Restart the computer.
5. Delete the files 'tracking.tmp', 'vg.dat', 'v.dat', 'lsp.dll', 'SahDownloader.exe' and 'SahAgent.exe' from the System folder (inside the Windows folder; called 'System' on Windows 95/98/Me or 'System32' under Windows NT/2000/XP).
6. You can also delete the registry key HKEY_LOCAL_MACHINE\SOFTWARE\VGroup to clean up if you like."

Of course, you do this at your own risk...