Internet Explorer is displaying this message because it has encountered this error when trying to run some Javascript on the page.

The most likely cause of this error is that you are using a relatively old version of Internet Explorer (i.e. Internet Explorer 4) and it cannot deal with something on the page. Consider upgrading to a more recent version of Internet Explorer. Otherwise select 'No' and see if you can continue with the page being viewed.
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You know something bad is going to happen when you hear..."Hey, hold my beer and watch this"