What does this mean?

[Hugo 59]

I'm running XP every time I open IE this (see attachment) pops up in the little icon box thing in the lower right hand corner, but if I try to click on it it disappears.

I rebooted and it doesn't do it anymore anyone know what that means?

[Kendan]

I believe it is the cookie blocker (Check in the security settings).
I f I am wrong let me know.