What does the pop-up window say? It obviously shouldn't be there, and it could certainly indicate that you've got malicious programs on your system. Remember that no single utility, included Ad Aware, will be able to detect and remove all possible infections.
In your Internet Options control panel under Temporary Internet files->Settings, what is the "check for newer versions of stored pages..." option set to?
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Wombat At Large
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since Dec 2003