If I have internet explorer up and open another explorer window, and close one of them, the other one closes as well and a box appears telling me it encountered a problem and had to close.
Why does it do this?
I usually have an explorer open, itunes and maybe a word doc or something.. and i do use the tabs but if i click a link for something, another window opens up and when i close that window is when i encounter the problem..

No idea. how many windows do you usually have open (other than Internet explorer) at a time? That may be contributing to the problem. If you've updated to IE7, this shouldn't be a problem, since you can just open up new tabs instead of separate windows. I would suggest getting Firefox, though. Unless you're a microsoft purist, it's the better of the two.