Do you have any kind of auxiliary toolbar installed, like the Yahoo toolbar or Google toolbar? They contain popup blockers, which may remain active even if you disable them. Uninstall anything like that.
Whether it's the IE popup blocker itself or an addon, there should alway be a message like(website tries to open...) and a button to disable that for the specific website. It's typically in the explorer window above the website.
There should be, but there often isn't, especially with some of those toolbars. Even disabling them sometimes leaves a popup blocker active. They are a real PITA and I consider them poopware, especially as they often come attached to some other desired program. For example, the Java installer also wants to install an "Ask" toolbar now. For a long time, Google's was a parasite on Adobe installations.