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My best guess is that you are probably going to some sites with a lot of popups. I've seen where the popups are off screen and basically running in the background. If you don't have Internet explorer open, you can just manually go into the task manager and kill all instances of iexplore.exe.
I have also seen something similar caused when the java/javascript run by a website doesn't close out properly after closing/moving away from the site.
Note: this also helps if you feel that trying to surf is slower than usual.
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