Cannot open an anonymous level security token in IE 8

I am routinely getting this message after installing IE 8. The message occuring on random sites, mainly in scenarios where a pop up window should open (or open code is called in javascript). I'm not sure what is causing it, or how I can get it to stop happening. Does anyone know what this could be related to?

Message: Cannot open an anonymous level security token.

I did find a page on msdn talking about the issue, but it said something about "raising the identity level". I'm not sure how to do this or if it's even related.

Thanks.