I know this will seem like a smart-a** answer, but do try using Firefox instead of Internet Explorer.
Firefox is free and is in my opinion a much better product. It is also easier to deal with if things go wrong because it is a seperate piece of software not integrated into Windows like IE.
You can download Firefox from www.getfirefox.com
N.S., October 2005
edit
I can answer this question...
when i close one window in internet explorer all of internet explorer close?