This site will look much better in a browser that supports web standards, but it is accessible to any browser or Internet device.
Note: This problem has been resolved with IE5.5 SP1.
Internet Explorer Window Closes When You Click a Download Link
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]