I don't think there is any option in IE that automatically closes a window. It's probably spyware and malware. It can't be helped with IE. You may want to scan the system with programs like Adaware, and switch to Firefox.
im having a problem with IE 6.0.
i can open A window and surf the web fine but, as soon as i open a link or try to open a second window something closes the first window and opens the second one. I know this is a minor problem but it is very irratating to me and will be to my wife when she comes home tonight. always moans at me when the computer starts acting strange and asks me what ive done when its usually her or the kids.
by the way system restore is not an option as i turned that off to get rid of a trojan i had hiding in those files. i have scanned my computer with zonealarm+virus checker ( in safe mode without internet ) but nothing has come up .
p4 2.8 (no hyperthreading as far as i know)
windows xp sp2
IE 6
244mb ram
80gb hard drive
s3 pro savage ddr graphics card
c-media ac97 audio device
zonealarm+virus checker 5.5 (updated 10/6/2005)
microsoft anti-spyware (beta)
ibuprofen headache tablets

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic