And there's another problem. Setting aside any views on the type of site (personally I don't care what consenting adults do in their own homes as long as it's not illegal), let's just say adult sites are generally less... Upstanding... Internet citizens. Typically far more willing to sell out visitors to their sites for a quick buck than almost anyone else, and less discerning about any ads they may run on the site to help fund it. So using Internet Explorer in conjunction with these sites is a rather bad idea. Using Internet Explorer in general is a bad idea, but using it on adult sites is like taking that target on your back and making it into a flashing neon sign and adding the words "Shoot me!"
We could go round and round about why Internet Explorer is the primary source of malware in the world, but ultimately it doesn't really matter. It won't change the fact that the more you use Internet Explorer, the greater the odds of you picking up malware. Adult sites or no, it still holds true, it just increases the odds if adult sites are involved.
You really should consider another browser. There are at least 4 major alternatives, so you can take your pick. You've got Firefox, Chrome, Safari, and Opera. Pretty much everything else out there is either based on Internet Explorer (so doesn't really help in the one place it counts: security) or Firefox. At least that way you've added an extra layer of insulation between you and any ne'er do wells who might target adult sites. As an added bonus, there's an excellent chance that it will fix your issue as well.
And, if for some reason you also have a hobby studying the effects of various malware strains on your personal computer, and so want to continue using Internet Explorer... Have you checked to make sure that the InPrivate function isn't enabled? It would rather neatly explain most, if not all, of your symptoms.