I'm not gonna tell you to stop using IE. However, I can point you to a Sun Java forum where they've been discussing what looks to be a similar problem...
http://forum.java.sun.com/thread.jsp...rt=0&trange=15
Doesn't look like they've found any sort of solution, but you should definitely try the JVM Lasereth offered.
You might want to check out the site's your going to, see if they're using the tracking software that's talked about on the thread. It almost looks like they're trying to drop some event listener (spyware?) on your box...I could be overly paranoid.
But definitly check your JVM version, and upgrade if possible.