May I ask which operating system and browser you are using ?
It *might* give a first hint into the right direction..
FreeBSD(see avatar) and Firefox, doesn't matter. I run all bitcoin related events in a virtual machine. Max security =/= guaranteed protection. Anyways, I've been investigating the issue for some time, and my mail service support gave me a log of all activity. BTC-E alerts email on login, and I received no "BTC-E successful authentication" email which was verified from the logs. This exploit was done outside of my own system.