This problem is likely not malware-related. Go to
Start > All Programs > Games > Games Explorer > Options
and check the 2nd radial button ("Never check online...") and uncheck the two boxes below for good measure.
Apparently Microsoft has been kind enough to default Games Explorer (a program PC users have been clamoring for for decades) to connect to the internet without one's consent. Somehow it slipped the collective mind of the development team that there are times when a computer does not have an internet connection, and when that's the case the program gets stuck in an infinite loop trying to download game information,