Hi and welcome to this site
I guess you mean your browser shuts without your requesting it to ?
or do you get disconnected from the internet?
to help you ,could we have some more information ?
could you kindly tell us which windows version you are using, which version of Internet explorer ( 5 or 6)?
do you have any other browser installed and if so do you have the same problem when running it?
which is your installed anitvirus program and when did you last fully update it?
what other protection programs do you have on board and when were they all last fully updated and run ?
also how DO you connect to the internet, dial up, broadband or some other method?