Hi there, can you tell which version of Windows you are running?
It sounds to me like Windows 98 (or 98SE) where active desktop allowed you to effectively show a web-page on the desktop. You can turn this off.
Check these Microsoft links:-
How to Determine if Active Desktop Is Installed
How to Configure the Active Desktop
follow this link for information on how to disable Active desktop
How to enable / disable windows active desktop.
I suspect that Active desktop is trying to display a web-page that is no longer available hence the error message referring to a server.
Personally on Windows 98 I would disable the Active Desktop feature and just use a nice picture for the desktop background.
Let us know if this information helps resolve the issue.