IE problem! help please!

ok... well I have a problem with my internet explorer. Whenever I try to go to some of my favorite sights, such as coolrom.com or some others, ie just closes... like right when I click on the link all of my IE pages close automaticaly. It's really starting to get anoying. Im not sure if it has anything to do with the internet setting, but I looked through all of them and none of them had anything to do with the closing of the windows... So if you could help this would be very apreciated...