Sounds like some virus or spyware. It's opening a window that's meant to display some webpage except it's poorly programmed or the page it's trying to display has been taken down since due to being illegal or something.
do a virus scan (AVG, avast, or if you've already bought one use that) and a spyware scan (ad-aware, spybot search and destroy, etc.).
If that doesn't get it, may have to do a HJT, which I don't know much about but there's a few people here who know their stuff
