Ok, everytime I close an Internet window I get this and is closes any other windows I have opens.

Are you closing it in an unusual way?

No. Anyway I close it I get that.

make the switch to firefox

That shouldn't always be a solution. Sheesh -_-

We'll need a bit more info, such as:

Version of Internet Explorer.
Do you have microsoft office installed? Again, which version.
Any antivirus/spyware systems in place, if so, which ones?
What do you have running in the background? i.e. Any javascript, flash, etc.

What I'd assume it to be would be Norton conflicting with lower versions of IE like IE6 or the Google Toolbar. Mainly the google toolbar. Man I hate that thing on IE

I'd agree with sven. Firefox isn't all that great. It's a memory hog (speaking of firefox 1-2...haven't experienced 3.0 much). I'd suggest opera if he's looking for a new browser. But, this could be an all over problem so he should answer sven's questions so people can offer him help.