Probably one of your security programs, especially a 'pop-up blocker'.. look at the lower right hand part of your screen in the tool tray and if you have such a program it will show up there...
If it's a dvd that your watching on your TV it usually means that whatever button your using on the remote that particular task cannot be carried out at that time
On the three dvd's we have at home, the symbol comes up on the screen when you press a button that's not meant to function at that point.
As to the reason, I think you need to look at the instruction manual. It should explain which buttons will not work under what circumstances.
No one could explain to you why as it depends on the capabilities of you particular DVD player. The instruction manual should point you in the right direction.