All my ie's shut down after click red x on on

Hello,
please can someone help me, If i have two seperate IE windows open and i click the red x button to shut one of the down, they both close. and error message comes up and then the desktop. It not the tabs they are fine I can close them as an when i like. It just say I click on a picture on a webpage that opens up in a new window and then when i try to close it either by the red ex or file and exit it shuts down ALL IE windows and my IM. please someon help its driving me mad and it only started to happen last week it has always worked fine till then.

I have run a virus scan etc that found a spyware which it fixed but still have the problem, Im not very good with computer so if you do know what to do please explain it using little words lol

thanks
Liane