Addressed mostly in WIndows 7 by changing the display you want the pop up to be on, to be your primary display.
Again, this is a pretty problem which is what they call a "Windows Annoyance" and not patched by it's maker.
However, applications can be updated to not do that. But this means the author of the app that called for the popup may have some work to do. Most app authors and companies just leave it like this.
When I open a display box on my main monitor, the pop up appears on my secondary monitor instead. Is there a way to fix???