Rule out parasites, if still no joy explain your shutdown.
Is IE closing?
Can you still ping a site, meaning that you are still connected.
Does it happen all the time of just some sites.
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(s) is/are with
these tools.
Let AD-Aware Scan your system for advertising Spyware
http://www.lavasoftusa.com
and:
SpyBot-S&D
http://security.kolla.de/
p.s Reset the 3rd party browser setting.
More: This may be caused by a third-party program (adware, spyware,
parasite).
Get AdAware and SpyBot and run them both. Keep them up to date.
Dealing with Unwanted Spyware, Parasites, Toolbars and Search Engines
http://mvps.org/winhelp2002/unwanted.htm
Additional link:
http://aumha.org/a/quickfix.htm
You may need this removal tool.
More: Complete list by variant with up-to-date information.
http://www.merijn.org/cwschronicles.html
More: Removal tool:
http://www.merijn.org/files/cwshredder.zip