Cannot Close Windows

For some reason, lately I have not been able to close some of my IE windows. It only happens to a few, and I can't figure out why. I've tried everyway to close them and the only way that works is CTRL+ALT+DEL, and it says that the program is not responding JUST FOR THOSE WINDOWS THAT DON'T CLOSE. I think it might have to do with this pop-up I keep on getting. It's title is "-- Web Page Dialog." The wird thing is it has nothing on it, all it is is a white window. You can't click on anything else when it is up though, you can only close it. Can anyone help me?

 

You've picked up some spyware. Get, update, and then run first Ad-aware and then Spybot to clean it off your system.

After you are clean, use the immunize button on Spybot to greatly reduce the amount of spyware/malware you get in the future. Even then, it's a good idea to update and run both apps at least monthly and I do mine weekly.