McAfee Enterprise 7.1.0 and IE 6.0.2900 has given me the same warning. It only happened once and I can't recreate it. I'm guessing it has to do with one of the ads.
McAfee log (removed username info):
1/2/2007 12:17:02 PM Deleted -----\-------- C:\Documents and Settings\--------\Local Settings\Temporary Internet Files\Content.IE5\CLYZOHQZ\popups.htm VBS/Psyme
20g tall - planted FW with celestial pearl danios (and some fry!), amano shrimp, and a cute neon blue Endler.