name. Some viruses do try to trick you by using similar or same system file names and put them in system folder. But it could be just a legitimate executable. If you know how to use process viewer, you may want to find out how dsound.exe is spawned. It gives some ideas about how things get started. Checking file properties to see version information can also be helpful if it is a legit file.
If you are not sure, block it. That's what ZoneAlarm for and it's called preventative protection. You can also rename that file and see if an error ever occurs. If not, you probably can safely delete that file (only you feel uncomfortable about that file).
btw: Does this happen when you do other web page submits instead of searching from Yahoo?