First, quit letting the sheep drive your computer.
Ok,..Joc, these are applets that are running from being at various sites, and/or you have Messenger running in the Services for XP list, which allows any remote bad guy to pop-up stuff whenever they feel like it.
It could be a virus as well.
To absolutely kill these guys, you can turn off java in IE, or at least you used to. I don't use IE6.
I have never had this problem, and really do not know how others manage to get them.