Hiya Maria, welcome to the zoo!
Regarding your problem, if it's only once in a while that it happens, then it's probably just a bit of dodgy coding on the site you're visiting. If it happens a lot, with more professionally designed sites, we've got a problem.
1. Have a look in Tools -> Internet options -> Advanced.
2. Now look at the list of checkboxes. Is 'Display a notification about every script error' ticked? If it is, then untick it and you should have an easier life.
Please keep us posted, because I'm making this up as I go along.