Hi Xpmanic,
You must provide more details about the problem. (we can not guess what a "new small window" is without knowing its title and what it is asking you to terminate).
If you are telling about Internet Explorer crash Window, you should read related topics, as it's a very common issue.
If it's some ad popping, it may be a malware or virus.
Please post back with all details, like your OS, what kind of window, when does it happened first and what unusual things (like power outages, install/uninstall programs/devices, etc...) occured just before.
Chris