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