IE Asking For Permission To Close Window

I have a simple little page that takes a form submission through a query string (GET) to add a record to a database and then uses JavaScript to close the window as it is no longer needed once the back-end processing has been done. (Don't ask why this is. It just is the only way a certain task can be done). The javascript is called by the onload event handler I created:

{self.close();}

No rocket science there. Unfortunately IE (have to use it. No other choice) pops us a confirmation dialog asking if the web page is allowed to close itself. I was under the impression a web page could close itself but as I type this I realize this might be a good thing since anyone could then close a browser window at will if they placed similar code somewhere in their page or, more probable, in someones elses page maliciously.