In order to determin you need to check following :
If you you do CTRL ALT DEL and you look under processes is there still a process IEXPLORER.EXE running?
This could explain the error. The best would be to do the following ( directly after you have had the error)
START RUN and type eventvwr. You will see three headers there. Check if you see any red dots with white crosses in it and post the contents of same.
As far as removing these files you could go into SAFE MODE
and try again.
Did you recently scan for viruses or spyware on your computer?