I use the Session Manager add-on, so when I open Firefox, before the browser comes up I see a Session Manager screen that allows me to choose between saved and previous sessions. The alert window comes up simultaneous to this screen so the browser isn’t (or at least shouldn’t be) trying to open any pages yet.
My home page is www.google.com but, as I say, this happens before it gets to the point of opening the home page.
I’m currently running a virus scan since I’m concerned that might be the problem.
Try opening Firefox in safe mode. That should be an option in the start menu folder.
If it stops the problem, then you can start in safe mode again, and choose disable all plugins, which will then let you add them back in one at a time to see if one of them is causing the problem.
And if you want more help, a list of your plugins might be useful.
Oh, and make sure that your Tools > Options > Applications doesn’t include anything that could start WMP. The only things that should mention it at all should be referring to the Windows Media Player plugin. And I guess also make sure your Internet shortcut is only pointing to firefox.exe.