What are you doing when this is happening? Running your web browser? Please don't tell me you are using IE as your web browser either. If you do, pick another browser.
It's most likely the website causing it. I use firefox and see it every once in a while. How often do you see it? Does it happen on any particular website?
I think it happens most often (several times a week) when I'm browsing thru Facebook. I've got to where when that dialog box pops up I just go to Task Manager and close it.