Sounds like a malicious IE add-on or object.
You should be running at least IE 7, so if you aren't...upgrade.
Run IE7 with no add-ons, which is found in the accessories menu under system tools.
Is the problem still occurring?
If it isn't, then you have your answer, remove or disable all suspect add ons. (Tools, then Manage Add-ons)
If the problem still occurs, go to the tools menu of IE, select Internet options and on the General Tab click on the settings button that is in the "browsing history" section.
Select "View Objects". From there you can remove suspect objects as well. The worst that would happen is that you would remove an active x control or java class object that you would need to install again.
Let me know how that works.
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