You probably have JavaScript or ActiveX enabled on your Internet Explorer.

I would either:

a) disable the default execution of scripts and ActiveX or

b) use the security zone feature (Options... then the Security tab) to create a non-trusted zone where scripting is disabled or enabled only for signed scripts.

Where scripting in Internet Explorer is concerned:

a) leaving ActiveX enabled to execute scripts by default with no requirement of signing or authentication is like saying "do whatever you want to my computer as soon as I surf onto your site." ActiveX can do almost anything to a Windows system. If you've ever used the "Windows Update" web site at Microsoft to scan your system for the patches you need and then install them, you're seeing what ActiveX can do. ActiveX can do almost anything to your system via a browser. You should never, ever accept an ActiveX script from a site you don't trust. If you're really paranoid, you set your browser to prompt you for permission to execute any ActiveX script. This is what I do, and while it is annoying, it's kept me free of this type of stuff for years.

b) JavaScript isn't as bad as ActiveX in that it isn't as all-powerful, but it does have the ability to install scripts into your browser that can hijack the browser. I would recommend that you use the security zone feature to allow JavaScript applets to be executed without permission only on sites you trust.