All the windows close when closing one explorer window

The most likely problem is that there's a buggy add-on. In order to verify and isolate the buggy add-on, follow these steps:

Start IE in No Add-ons mode,

• To do this, click Start, click Programs, point to Accessories, point to System Tools, and then click Internet Explorer (No Add-ons).

If you start Internet Explorer with add-ons disabled, you may find that this resolves the issue. Then, you can locate and disable the add-on that conflicts with Internet Explorer.

• To do this, follow these steps:

1. Start Internet Explorer.
2. On the Tools menu, point to Manage Add-ons, and then click Enable or Disable Add-ons.
3. In the Manage Add-ons dialog box, click the first add-on under the enable list
4. Under Settings, click Disable, and then click OK.
5. Restart Internet Explorer.
   If the problem occurs, the add-on that you recently enabled conflicts with Internet Explorer.
6. Repeat steps 1 through 5 until you locate the add-on that conflicts with Internet Explorer. Then, disable the add-on. (dont forget to enable all other add ons except the one that was causing problems)

Happy Browsing !!!