this typically is a problem with slightly flakey HTML coding of the site. have you applied all the Windows updates for Internet Explorer? how about updates to your video card drivers?
I'm running Internet Explorer 6.0.2800.1106.xpsp2.030422-1633 on XP Home.
When I go to certain websites, e.g. www.rfu.com - the browser window closes automatically.
Can anyone help?