What do you see, just a box with a X?

No, it says Page Cannot Be Opened and then suggests changing settings etc.

Mine does the same thing. Its because programs such as Spybot and SpywareBlaster block connections to your computer from certain websites. Therefore leaving you with "Cannot connect to AdServer.com" for example. This is a Good Thing in my opinion :D Your computer doesnt have to connect to that Ad site and download anything from it :D

Hope this helped