The EXACT "MSHTML.dll" error would certainly help.
In the meantime, just a suggestion here...
Make sure to use a spyware removal tool such as the free ones at the links below. (Use them all):
Most of the time I use Internet Explorer I get an error message that says that internet explorer has to close and details say it is in the file mshtml.dll and eventually leads to appcompat.txt. I have read every post I have found for troubleshooting this problem. Occasionally it does happen in outlook express but not near as often. I use xp sp1 and even going to sp2 does not help. I use avg antivirus with kerio firewall and run adware se and spybot search and destroy which do find assorted things but does not help this problem. Any advice would be greatly appreciated. I have even started over completely with reformatting drive and reloading xp. Recently I switched to mozilla as internet browser but actually do not like as much and problem does not occur.