Oh, they annoy me too!
The little box is a slice number... slices are a useful way to divide up images, if you want to use them in webpages or the like. If you want to play with it, the slice tool is the 3rd tool down on the right of the tool palette (for my version of Photoshop anyway
).
Pressing Ctrl+H will get rid of the numbers... but they'll probably pop up again next time you start Photoshop. To get rid of them permanently, go to "Edit > Preferences > Guides, Grid & Slices", and under the Slice section, uncheck the "Show Slice Numbers" checkbox.