This is pretty common - some of the MW markers are pretty 'sticky' and seem to latch onto the secondary Ab effectively. Some markers are even designed to grab the secondary so that you can see the size range on the blot as well as on the gel. Assuming that your markers are _not_ supposed to light up, you can try changing your blocking step (try different blocking buffers, for example - 5 % BSA, Dried Milk, Roche WBR, etc.) or try blocking longer (maybe overnight at 4degr), or perhaps more importantly, try lowering the concentration of your secondary - we often start at about 1:30,000 or so and adjust up or down as seems appropriate. If you're not sure whether this is due to the secondary or the primary, try just incubating with the secondary alone and see what happens. I'd put my money on a secondary problem, though, just because that's almost always the case when we see something unusual. You might also try running smaller amounts of markers on the gel, down to where you can still see the size OK, but hopefully the blot effect is reduced. Also, make sure you wash the membrane in something like 6X SSC for a couple minutes after transferring (check any reference book for their recommendations) - even though it's not an agarose gel you still want to wash the salts and any bits of gel off the membrane before you go to stain it.
Oh, yeah - speaking of secondaries, it might help to not make fresh secondary dilutions each time (if you do that). We find that our secondary dilutions actually work better and cleaner once they've been reused a couple times