This can happen for several reasons

If it happens when you click on any link then the most probable cause is an error in the file type settings.

To correct the issue

1. Open Folder Options and click on the File Type tab
2. Scroll down the list until you locate "URL:Hypertext Transfer Protocols"
3. For Windows 9x or Windows ME Click Edit
   For Windows XP click Advanced
4. Click Edit
5. Make sure the settings are as follows
   The "Application used to perform action" box should read "C:\PROGRAM FILES\INTERNET EXPLORER\iexplore.exe" -nohome including the quotation marks (NOTC: If Internet explorer is not installed on your C: drive then change the drive letter to suit your system)
   In the DDE section
   Check the "Use DDE" box
   In the DDE Message box (use copy/paste if needed) ensure that it reads "%1",,-1,0,,,,
   The Application box should read IExplore
   The DDE application not running box should be empty
   The Topic box should be WWW_OpenURL
6. Click OK
7. Repeat the above steps for URL:Gopher if it exists
8. Click OK until the dialogs are closed
9. Restart your computer.

If it only happens when you click on a certain link then

Go to Internet options and clear your Temporary Internet files then restart your system

The other possibility is wrong or corrupt video driver files

Go to the video card manufacturers site and be sure that you have the latest driver for your card installed.
Re-install your video drivers