Steve,
To check what service pack you have: Start-->Run-->winver then click "Ok".
IF you are running service pack 2 then you'll have an option for a pop-up blocker @ Tools-->Internet Options-->Privacy tab
If you are not using service pack 2 are you using a pop-up blocker of some sort? If so...disable it!
Also try clearing the temporary internet files: Tools-->Internet Options-->General tab and click Delete Files
good luck!