This is the same issue of the media plugin overriding any other javascript popup.
This is the plugin I used
<embed type="application/x-mplayer2" style="width: 150px; height: 150px;"
src="/content/getresource.axd?id=365e679b-c880-43f7-858e-ddaeadb6abe7"
pluginspage="http://download.microsoft.com/download/winmediaplayer/nsplugin/6.4/WIN98/EN-US/wmpplugin.exe"
media="true" autostart="false" autoplay="false" wmode="transparent">
Even with wmode="transparent", IE does not seem to be showing the media plugin in the background. Also tried changing the z-index and found it not to work.
Thanks,