Removing Hijackthis.exe should begin by first making sure that you have closed the software fully and that the keys were cleaned from the registry. The things I just mentioned should be implemented every time you remove software from your program, to insure that they are uninstalled properly. The problem is that Hijackthis is deeply embedded in the system, so people might find it hard to disable the program and to remove it fully.
In order for the Hijackthis program to be closed, you need to do a right click on the icon from the tray and close it, or use the key combo Ctrl Alt Del to get the task manager running and close it. Ideally, you should use the Windows Safe Mode to remove Hijackthis software from the computer, which would insure that the program is out of the computer and the chances that traces of it still exist are small.
Once the files of Hijackthis are removed, you also need to make sure that the registry keys are cleaned as well. If you use Safe mode, removing Hijackthis should be pretty complete, since you’re sure that it’s not running and all files can be removed from the system. If the removal is not complete and you still get messages about its existence, you should go and delete all the directories and files manually.
Still, unless you’re an expert, you shouldn’t start deleting registry keys without being sure that they’re related to the program you’re trying to remove. Since the registry keys of a program aren’t found in a single place in the registry, you should use a software dedicated for uninstalling programs you no longer want. This type of software should let you remove all traces of Hijackthis, without risking to do damage on your computer.