If you are using IE and you get the "IE cannot open...." message on a few sites (not every site), there's a good chance that the website is using Sitemeter, which has (had) a bug causing the problem. (I ran into it earlier today on Corrine's Security Garden, but it seems to be fixed now). If you must get to the problematic website, try another browser.
Yes, issue resolved: http://weblog.sitemeter.com/2008/08/02/sitemeter-ie-issues-resolved/