If you're familiar with Windows a degree of common sense would have prevented the clicking on that window, since the entire 'window' is an image with a link. Safari vs IE? A useless browser or an insecure brower - take your pick, or use Firefox. However, I have to agree that out of the box, the Mac caters for the clueless better than Windows.
Mmno... I'm pretty sure it was a dialog-box, not a pop-up picture. (ie. look above, the picture from Firefox where the same thing happened.)
Assuming people you don't know don't have a clue about something will give you many surprises in life.