When I sat on my PC (windows xp) today I noticed something strange, every time I push the caps lock key a grey box appears above my taskbar.
I don’t think my keyboard has such a function so what is the cause?
I think this is mostly an informational message to remind you that caps lock is on. Have you recently made changes to your computers setting? Or, have you recently installed a new program?
By the way, you should not “sit” on your computer. 
;D
I haven’t made any changes lately, I only installed a bluetooth driver 4 days ago.
I made a system restore to 01 september but the problem didn’t disappear.
Isn’t there any ‘accessibility’ tool that alerts the user to the turn on of the key?
Did you run full scannings with avast and other antispyware tools?
It’s not an accessibility tool, I ran checks with AVG Anti-Spyware, Avast and Spybot and there was nothing.