I've been dealing with this problem for over a week now....and I'm ready to kill someone.
The first thing I did was download MYIE2 and try and use that to see if I had the same problems...which at first I thought I didn't but that was short lived because after about 10 minutes I had the same problem with it.
The first thing to do is scan for the obvious viruses...I did and I it came back 'negative' so that wasn't my problem.... then, I went and downloaded Hijack This
http://www.merijn.org/files/hijackthis.zip
(if that is down, then go to
http://tomcoyote.com/hjt/ and click on the 'hijack this' button...save the zip file to your hard drive and then run the program) you will get a log file of all the various programs running on your computer which you can then try and use to figure out where a problem might be. I did this and have yet to find my problem, but you may have something more obvious than mine.
Now if when you're IE shuts down you get an error message...which I only get SOMETIMES, then its a good idea to find the log and look at what's in it. If you don't know how to do this, just ask me and I'll tell you the easiest way but you may not have gotten any error message at all. Another thing to do is to look in your Dr. Watson logs and see what IT says...again, if all other things fail, ask me and I'll try my best to help you.
Keep in mind that I have yet to figure out the problem with mine although it seems to be a little bit better...but I've posted my log files on various forums to try and have someone help me out and they're lagging with responses so who knows, but I've been looking at them and doing so much research that I figure I could probably spot an obvious problem on someone elses log files, assuming it existed so either pm me, email me or whatever and I'll try and help.