A script is a set of commands running in the back ground which do certain tasks.
Those task have been known to be.
Logging what keys you have been pressing
Logging personal information.
Logging what sites you have been going to.
On pprune there are 4-5 scripts running all the time one logging advertising. another one keeping track of your history so you only need to read new posts etc.
Most sites have scripts on them these days.
If you get one that runs and permanently effects your browser and how it operates I would be a bit concerned. It could just be a toolbar acting up eg yahoo or google or it could be you have a nasty sitting in the background doing things you won't want.
Either way its important to find out what it actually is.
Remove or stop any tool bars and add ons to the browser and see if that cures it. While doing that make sure you give the system a good scan using an up todate virus and malware scanner.
I am not very up todate with IE as I have always been a netscape type person and currently use firefox so with any luck some of the others can be of more help. In the past when called upon to fix problems with IE I had always used a scorched earth policy which was a bit of a pain because IE embeds itself like a cancer in the OS as soon as you install it.