As long as you have a firwewall (EG zonealarm- which is free) and antivirus you should be fine.Pop ups are a pain, and most will get them. You can however download popup blockers.
Remember this pop up is for anyone accessing that page so its not just you that will see it.By clicking on it you'll prolly open a link to a webpage that WILL install a virus so just ignore them and make sure you have antivirus and a firewall up and running.
As for the IE shutting down you could try reinstalling it, under add /remove programs within windows as it may be corrupted.
Good luck.
Roy.
December 2006