I have a similar problem on one computer, using IE 5.5, that has what seems to be an extension of the usual useless microsnot search stuff that keeps popping windows up to get me to search for a list of useless stuff like gambling, and can't be closed without finding something, then changing the address back to wehere you were, and doing a couple of control-alt-delete-emd-tasks to shut the stuff you did not want. It does not change the dialled connection.

It seems to be called "hotsearch" and to hunt for files with a .pdp (I hope I've remembered that right) extension.