That is a pop-up window.

A pop-up is a small web browser window that appears on top of the website you’re viewing. Pop-up windows often open as soon as you visit a website and are usually created by advertisers.

That is a Pop-up Blocker.

Pop-up Blocker is a feature in Internet Explorer that lets you limit or block most pop-ups. You can choose the level of blocking you prefer, from blocking all pop-up windows to allowing the pop-ups that you want to see. When Pop-up Blocker is turned on, you will get an Information bar message saying “Pop-up blocked. To see this pop-up or additional options click here.”

The how to I turn Pop-up Blocker on or off.

Pop-up Blocker is turned on in Internet Explorer by default. To turn it off or to turn it on again if you’ve already turned it off, follow these steps:

To turn Pop-up Blocker on or off

In Internet Explorer, click the Tools button, and then click Pop-up Blocker.
Do one of the following:
To turn off Pop-up Blocker, click Turn Off Pop-up Blocker.
To turn on Pop-up Blocker, click Turn On Pop-up Blocker.

Some great free software is CCleaner to clean clutter from your hard drive, Ad-Aware to remove spy ware, AVG for anti-virus protection, Pop Peeper for keeping track of multiple email addresses real time. All good free programs that can be found on download.com

Also, you can go into msconfig (start >> Run >> type msconfig, go to startup tab, uncheck undesirable programs) and get rid of programs that you don’t need. Sometimes these are little spybot programs that cause pop ups. Make sure and be careful here though. Google the programs first to make sure you should remove them. Try these steps to get rid of spyware, junk, nasty pop ups and also speeds up your system. Good Luck.