I had something like this happen a while back with MSIE and it turned out to be a bug of some kind. I don't recall what it was at this late date. I went through hell trying to get rid of it, and couldn't go to any online av site and run an online test because it wouldn't allow any pop up windows.

I finally ended up buying McAfee antivirus and it found whatever it was. Naturally, instead of just quarantining it for future reference, I deleted it. I now use Mozilla, and along with McAfee haven't been bothered since.