It's a Virus. Also, some special screensavers have ads installed. Try "Ribbons" and see if it keeps happening.
I saw a downloaded screensaver that streamed pictures of cars, it showed popup ads, so I removed it.
But you should download TDSSKILLER and Malwarebytes Anti-Rootkit, run them both and let them check for TDSS filesystems. Malwarebytes does that automatically, but you have to change the scan settings to include those with TDSSKILLER.
Let me know if when you download TDSSKILLER, the file gets deleted - If so, then you have the Sirefef trojan. It will prevent you from downloading any anti rootkit programs.