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 malware is.
Dealing with Unwanted Spyware, Parasites, Toolbars and Search Engines
http://mvps.org/winhelp2002/unwanted.htm
p.s Reset the 3rd party browser setting.