If you don't want to see popup messages and windows like this, turn off java:

Internet Explorer 4.x
As Lord Byron says, this is how you turn off Java on IE4: From within IE 4.0 you will select "veiw" then "internet options" and then click on the "security tab" at the bottom corner. You then choose "custom" and click the "settings" button. Then scroll to the "Java" category and select disable. You can also turn off other scripting from here as well or have it to prompt you before it runs...
[I suggest you turn off all Active-X until needed]

Internet Explorer 3.x
To disable Java in Internet Explorer 3, go to View -> Options menu. Select the Security tab. Uncheck the four boxes in the Active content area, in particular the last two.

Netscape 4.x
To disable Java in Netscape 4, go to the Edit -> Preferences menu option. Select Advanced category. Uncheck the boxes to disable java and javascript.

Netscape 3.x
To disable Java in Netscape 3, go to Options -> Network Preferences. Select the Languages tab. Uncheck the two boxes there. Only in a few pages does Java make a difference, and on those pages it shouldn't be too much trouble to change your settings.

This message was my response to someone's concern over a silly message to the same effect. ;)