I too have this problem and when I try to close one window of IE all will
close. Plus when I close one window of IE to shut it off , the computer keeps
trying to reopen it. Does any one have answers to this?

I know of two 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. 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.