You've got adware. Most likely an app you installed, and as noted above apps from random download sites are more likely to contain this (or worse).
If you can work out which app, uninstalling it will solve the problem. Check things you installed shortly before it started. You could also try Addons Detector and see whether it can identify the cause.
Do not click on the links. These are not system messages, and heaven knows what they would install (but it won't be anything good).