Various advertising companies (and other interested parties) are interesting in understanding your browsing habits, and where possible influencing them. To this end weaknesses in Windows design are exploited, and otherwise benevolent features of your web browser taken advantage of, in order to monitor where you go and what you do while online.

Depending on how your system is set up applications may be able to install arbitrary code on your computer, with potentially more malicious intentions then meerely spying on you.

Make sure you've got a firewall and malware killer installed on your computer.

All done and sorted. Thanks for the help Callum, it was much appreciated