Did you uninstall the Quickset application? Usually that shows a popup icon whenever you switch on/off your Caps Lock key..
Also, I was actually annoyed by that feature so I did some registry changes. Under HKEY_LOCAL_MACHINE>Software>Dell Computer Corp>Quickset, I changed the 'Value data' of QuickSetControl(REG_DWORD) from 4 to 1... Now I don't get that annoying popups anymore...
So, if you can try doing the reverse.. it might probably work...