IE page comes up on it's own! A chat box is also coming up on it's own as well.?

I was on FaceBook and clicked a link to view a video and now an Internet Explorer page opens up on desktop all by itself describing a problem in my system and that I need to download some file! The IE page that comes up is practically static. All I can do to it is close it out, thank goodness. It keeps reappearing and I ca't mak it stop short of locking down the firewall. Help!