Googled a little more and found this.
What is Cross Site Scripting?
To stop the popup:
Follow the steps as mentioned below:
1) Click start and click on internet explorer
2) Hit Alt key on keyboard
3) Click on Tools , internet options
4) Click on security tab
5) Click on Custom level
6) Scroll down to Enable XSS FILTER Under Scripting
7) Place a check mark for Disable XSS FILTER and click on Ok
8) Click ok to close the properties windows
9) Restart internet explorer and check for issue