It sounds like you're operating on Windows 98? There was a lot of trouble with that system, I remember getting that same dumb "illegal operation" notice all the time. Then the whole computer would shut down and I'd lose everything that was open.

Several options:
*Install Windows XP. It's a much better operating program and you won't have all those stupid warnings anymore. A registered copy of the software is about $100. It was the replacement for the problematic Windows 98.

*Mozilla Firefox. It's a browser, the place where you type in web addresses. It completely blocks 100% of pop ups.It also allows you easy access to cookies infiormation. It's much harder to hack than the Windows browser. It's easy to install and free. http://www.mozilla.com/firefox/

I know some of the operating system/broswer/software verbiage seems difficult to decipher, but it's actually not so bad once you start looking at this stuff. Good luck.