I.E. closes, 3 possible reasons.
Internet Explorer Quits When You Visit a Web Page That Uses an XSL Transform
and Window.name Property
http://support.microsoft.com/?kbid=811812
++++++++++++++
Java issue?
Tools/internet options/advanced/Microsoft VM
....only tick the JIT compiler box and leave the Java boxes un checked
(default)
++++++++++++++
Parasite?
IE 6.
Try this: Tools > Internet Options > Advanced > Browsing
Uncheck the Enable 3rd party browser extensions
If this clears your problem then find out who the culprit is with these
tools.
Dealing with Unwanted Spyware, Parasites, Toolbars and Search Engines
http://mvps.org/winhelp2002/unwanted.htm
p.s Reset the 3rd party browser setting.