Here is what the Help Menu, within FTM2012 says:
To include notes about the web search
From the Web Search Workspace, use the Pedigree Navigation bar to select the person you want to research and merge information to.
Use the fields in the browser to search for information.
Click the Notes tab.
Type any notes you want to include about the search results or use the Web Clipping Tool to copy text to the Search result detail pane.
Click Merge. The Web Merge Wizard opens.
Follow the directions in the wizard. For more information about the wizard process see Web Merge Wizard. Any notes you include are appended to the end of the Person notes, not to any fact notes.
I don't read that to mean that there will be a pop-up that will include Notes. The fields will pop-up when you hi-lite something. What I think this means that you can Copy and Paste information from the website and Paste it into the Notes section for that person. (lower left, Notes tab)