This is a (really) old issue. It's with Cydoor's advert system, McAfee Webscan and Windows/Internet Explorer. Kazaa does it too, as it uses Cydoor too.

Here's a quickfix for those with this issue. www.mts.net/~spider4/CydoorFix.exe

Note that upgrading to Pro solves this too, as there are no ads.

Cheers!