More than likely it is one of the ads that wants to set a cookie. Not sure which version of IE you're using, but go into internet options (usually under the tool menu, or go to the control panel) go to the privacy tab, click the advanced button, check the "override automatic cookie handling" checkbox, then select "accept" for first party cookies and "block" for 3rd party cookies. That should stop that.
Or, use firefox. :-)
-Never mistake kindness for weakness.
-Harley Davidson rEvolution engine (V-Rod): Designed by Porsche, detuned by Harley.