I am about 90% sure they do. They are no different then
any other web page really other than the fact that most
don't come up with any of the address bars and what not.
If you really want to know do this. Find a site that has
a pop up on it. Go to the site(clear your history first).
Then in the pop up window press F11. That will put it in
full screen mode and you SHOULD beable to see the address
of the popup. Then just see if it is in your history.
I might add though that I am not sure if things that use
Javascript work the same way.