Windows version?

Does this behavior persist if you start IE7 in No Add-ons mode?  To start
IE7 in No Add-ons mode:

1. Right-click on the blue IE desktop icon and select Start without Add-ons;

2. Start > (All) Programs > Accessories > System Tools > Internet Explorer
(No add-ons).

More:

Troubleshooting and Internet Explorer’s (No Add-ons) Mode:
http://blogs.msdn.com/ie/archive/2006/07/25/678113.aspx

Does the problem persist if you Reset IE7 Settings (RIES)?
http://support.microsoft.com/kb/923737 <= Read before using!

Seeing as you supplied virtually no information that might diagnose your
problem, I'll take this guess:

"Internet Explorer 7 may exit immediately when it includes an add-on and
you start it in Windows XP or in Windows Server 2003"
http://support.microsoft.com/kb/928426

The best way to get a good answer in a self-help newsgroup like this one
is to write a good question. This web site will show you how to write a
question that stands the best chance of getting you the answer you need:
http://dts-l.org/goodpost.htm

---
Leonard Grey
Errare humanum est

I know of three causes for the vast majority of such problems:
1. Incompatible add-ons:  What if you right click the IE icon on the desktop
and choose Start Without Add-ons?
Or go to Start | All Programs | Accessories | System Tools | Internet
Explorer (No Add-ons).

2. Tools | Internet Options | Advanced
Scroll to the bottom and click Reset Internet Explorer Settings.

3. Malware already installed on the computer:  Help with malware
All  MS-MVP Sites.
http://aumha.org/a/parasite.htm
http://aumha.org/a/quickfix.htm
http://www.elephantboycomputers.com/page2.html#Removing_Malware
http://mvps.org/winhelp2002/unwanted.htm
http://inetexplorer.mvps.org/darnit.html
http://www.mvps.org/sramesh2k/Malware_Defence.htm

Unexplained computer behavior may be caused by deceptive software.
http://support.microsoft.com/kb/827315

So How Did I Get Infected Anyway?
For quite a few people it's by installing Messenger Plus, whose ads for
malware don't identify the malware as such and try to convince you that you
owe it to the author.  See also:
http://www.wilderssecurity.com/showthread.php?t=27971
Don't ever do a "default" install of anything.  Always choose Custom and see
what else is being carried along.  Don't install any extras you're not sure
of.