NUTMSG4.dll is not a core operating system file but it could be a component of any number of applications or third party software. Poorly written software programs don't always install or uninstall correctly and can leave remnants behind in the Registry or startup files. I would start by running a Registry Cleaning utility, which will safely look for invalid entries. My favorite is utility is RegVac (http://www.superwin.com/regvac.htm), although there are many others.
This was first published in March 2004