I'm betting that your DNS is probably set to the DNS servers of OpenDNS.
You shouldn't worry. If the above is true, your Web traffic is not being intercepted.
What's happening when you type a wrong URL is that, instead of the DNS server returning a response called "NXDOMAIN" meaning the website doesn't exist, the DNS server is returning a response with an OpenDNS IP, giving the OpenDNS system a chance to display a friendly message in your browser (and also show some ads).
Your ISP typically provides one or more DNS servers to resolve DNS queries. You don't have to use the ones provided by your ISP - you can use a third party DNS service and OpenDNS is one of those.
Under Windows, if you go to
ncpa.cpl - then the network adapter of your Internet connection, right click, select Properties, then "Internet Protocol (TCP/IP)" and then click on the Properties button, this is where you can choose your DNS servers. If the "Obtain DNS server automatically" is checked - then your DNS configuration is being given to you by DHCP or otherwise used by the company. This may be the case in a corporate environment. You can override it manually if needed (in a corporate environment you probably can't do much on your end, though).
Some people find it is faster than their ISPs DNS servers. OpenDNS lets you add filtering options for your IP and a whole bunch of other services for organizations with multiple IPs - for example OpenDNS can refuse to resolve DNS queries to known malware sites.
Google also operates a public DNS service at 22.214.171.124 and 126.96.36.199 (and they follow the RFC saying they will return NXDOMAIN for invalid URLs - many, myself included, use them for this reason). Comodo operates one that is specifically meant to refuse to resolve known malwar sites. There's others out there, usually with some sort of filtering option that may appeal to you.
You can choose any DNS server you like to answer DNS queries for you. If you don't want to be redirected to a warning page upon entering an invalid URL, go back to your ISPs DNS servers (by ensuring the "Obtain DNS servers automatically" option is checked) or use Google. I believe you can also tell OpenDNS to stop doing this if you make an account from that IP and select appropriate options.
If you had your computer recently serviced, the tech may have set this for you in order to help you.