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Sandi's Site

Internet Explorer closes when a download is commenced (IE5.5)

Note: This problem has been resolved with IE5.5 SP1.

Internet Explorer Window Closes When You Click a Download Link
http://support.microsoft.com/support/kb/articles/q268/9/76.asp

The problem is especially common when downloading files, MP3's etc. If, for some reason, you are unable to update the version of Internet Explorer installed, a workaround is to use Ctrl N to open a new window BEFORE starting a download.

Also have a look at this link:

Browser Window Closes When You Click Link to Download Files [Q275290]
http://support.microsoft.com/support/kb/articles/q275/2/90.asp