Microsoft IE Underlining

I went to my web site today using Microsoft IE. Some words are underlined. When I clicked on them, they take me out of my web site to advertisement of various other web sites and products.
When did all of this start? They did not get permission from me. Where is this coming from?
Is there someone to lodge a complaint? My web site is a game/toy/kite shop very family oriented and here was an advertisement bordering on pornography!
Please someone HELP!
Thank you
Ruth