By Microsoft box do you mean a new browser window like when a new page loads but it is blank?
Does this happen with all links or just in certain pages/sites?
What Operating system/browser version are you using (if known)?
Have you or to you know how to delete temporary internet files?
To clear temporary internet files in IE6 click tools/properties, and in the temporary internet files section click delete files. (I think it is the same with IE5)
This may solve your problem.