As this is happening when you are online, its either a fake message, or spyware, or you need an active x control for the site.
But until you post what the error message says, no one can help!
I think you have spyware as your pc is slow. Install some security software and run a scan.
You need to install one firewall.
The Windows firewall doesn't stop malware on your pc from dialling out.
http://www.zonelabs.com Zone Alarm firewall OR
http://www.comodogroup.com/ - Comodo firewall.
You need to install one anti virus;
http://free.grisoft.com/freeweb.php/doc/2/ -AVG anti virus or
http://www.avast.com - Avast Antivirus
You need all three anti spyware programs;
http://www.ewido.net - AVG(Ewido) anti trojan.
http://www.lavasoft.com - Ad-Aware SE Personal anti adware
http://www.safer-networking.org - Spybot Search and Destroy anti spyware. Use the Teatimer settings to protect Internet Explorer, and the Immuniser to stop malware getting on your pc.
Also use Microsoft Defender and their online scans.
And these are useful utilities;
http://www.mozilla.com/ - Firefox web browser.
http://www.ccleaner.com Cr*pcleaner Registry cleaner and privacy tool
Winpatrol is a handy utility that manages cookies on your pc and stops unwanted changes to your startup folder.
http://www.winpatrol.com
Spywareblaster works with Internet Explorer and Firefox. It won't uninstall spyware that is already on your pc, but it will prevent hijacks and other malicious changes to your browser.
http://www.javacoolsoftware.com
http://www.siteadvisor.com -MacAffee Site Advisor warns about malware on sites you are about to visit.
Remember to update and run all of you anti malware programs at least once a week.