You see this error box because the script debugger is enabled.
90% of the sites you visit most likely have an error in it. The person who wrote the code might be using Netscape and you are using IE. The person using Netscape will see no problems but the person using IE see's errors, that is if the script debugger is turned on. There might be commands that only Netscape understands. It could be that a link is broke, you never know.
This should fix your problem:
In IE6; go to Tools > Internet Options...
Click on the Advance Tab.
Put a check-mark in the "Disable script debugging" box, this is 4 items down in the Browsing section.
Click OK and then close IE.
Reopen IE and you should no longer see that error box.