I've had it happen to me a couple of times too KimRaye.
I think it happened when I hit the "back button". By "going back" we may be "re-activating" the PM pop up feature. I'll try to "make" it happen the next time I get a new message.
Try this, the next time you get a PM, read it, close the window (if you opted to open a new one), then RELOAD the page you were on. This might "clear" the PM pop up "signal" from the page you were on.
Let me know if it works! In the meantime, I'll let WebmasterAlex know about this issue.