Hi,
This is probably being caused by a third-party program- possibly an adware,
spyware, parasite program.
Work through the solutions (CWShredder, Ad-aware, Spybot) at
http://mvps.org/winhelp2002/unwanted.htm Also note the security tips on that
page.

Additional information at:
The Parasite Fight http://www.aumha.org/a/quickfix.htm
More security tips at http://www.aumha.org/a/parasite.htm
Bugs, Glitches & Stuffups: http://www.mvps.org/inetexplorer/Darnit.htm

Or...
A legitimate program running in the background may be causing this. Disable
(for diagnostic purposes) programs such as pop-up blockers, toolbars,
security, anti-virus, etc. Take a look at any program that might be
interacting with IE. You may have to reinstall, or not reinstall, a program.

Hope this helps,
Don
MVP IE/OE