First of all you need to locate the source of the message.
IE is known for it's abysmal error reporting but luckily IE9 seems somewhat capable. If this bug occurs in IE6, IE7 or IE8 it will also occur in IE9, so use IE9 to debug (for your sanity)
Open the webdeveloper console in IE9 (press F12) and run through the steps to produce this error.
IE9 should now give you a file and line indication on the console, yay!
What typically goes wrong is a callback that is executed after some delay, either by setTimeout or because of an Ajax request. If the window, document or frame the callback is defined in got unloaded then you will get this message when it tries to execute your callback function.
Seemingly other browsers ignore this problem, which is fine I guess. To make IE do the same just wrap the callback in a try-catch block (I don't know what the callback would evaluate to, I don't think it evaluates to undefined). If you want have more precise error handling or if you actually want to take action when this occurs you can probably do so and please make a post here because I'm curious as to what kind of use case would actually require this.