It might be a couple of things. I run MSN messenger, and when one of the contacts I have listed sign on line or I receive an e-mail a window pops up then goes back down letting me know.

I would also suggest you might want to run ad-aware and spybot if you have them incase it is a nasty thing along with your anti-virus.

You can search(upper right) for them if you don't already have them.