You have spyware then. Spyware basically looks at what you are doing and sends off information. Most are harmless and can be packaged in programs so advertisers know what you look at most, etc, but they are annoying, and totally an invasion of privacy.
I advise you should download SpyBot Search & Destroy which will find many:
Theres also one called Adaware, yet I can't seem to find the free version. It is really good at doing its job, but I had problems with it.
I advise if you can get hold of them, to maybe get both to see which one works best for you.
I hope this helps.