What OS (Win XP/2000, etc) are you using? Did you try doing an anti-virus scan in "SAFE MODE
"? Have you performed any anti-spyware scans?
If you do a Google search you will find numerous complaints of multiple instances of iexplore.exe running in Task Manager. This could problem could be malware or non-malware related. For example, there are worms like W32/Lovgate-AD that will cause the same problem you are experiencing. In addition to other files it drops iexplore.exe in C:\Windows\system32. The legit iexplore.exe is located in the C:\Program Files\Internet Explorer folder.
For others the problem was related to the Yahoo toolbar and uninstalling it was the correct solution. Prior to doing this all anti-virus and anti-malware scans found nothing suspicious.
I assisted someone else with a similar problem a while back and we traced the problem to their instant email notification settings at various forums. Everytime, this person received email notifications, they opened it, clicked on a link and went to a forum. This action created a new instance of iexplore.exe each time they opened an email and visited a forum to read. This person was also using Spyware Doctor and the problem only occurred if that program was actively running in the background. When Spyware Doctor was disabled, the problem did not occur.