Windows WTF

So, on an XP machine, I was transferring a file to a files system shared from a remote machine - a "network drive".

I browsed to the directory/folder in Windows Explorer (N.B. Windows Explorer), and noticed that there was an awful lot of accumulated junk in it.

So I selected a handful of files, and right-clicked on them.  At which point I got a popup message from Internet Explorer (NB Internet Explorer) saying

This page has an unspecified potential security risk. 

Would you like to continue?"

Continue with what?  I was only trying to bring up a menu!

And why does that, or anything else, involve Internet Explorer?

On the third attempt, out of curiosity, I tried clicking "yes".

The window went away.

Nothing else appeared to happen.

Thanks, Microsoft.