That is curious. You should check the settings on your browser. Firefox is a great browser and gives no trouble but has excellent security features, IE7 is not so great. But it does have a message that spits out warnings about cookies frequently. Adjusting its settings so it won't display so many messages could be an answer.
Also try installing malware protection software, in case you have something on your PC affecting your browsing. Some AntiVirus software will update you constantly of atacks on your PC. You can alter the settings there too so it won't remind you so many times. It is no harm to be wary of websites as they can have all kinds of nasties, as Twitter and Facebook now are breeding grounds for malware.