when close a window,internet explorer closes all the windows opened at the time..any tips anyone on what to do

Each time I try to close a window while I’m working,internet explorer closes all my windows,give me an error message and I loose all my data…my anti virus is NOD32 and I have a genuine windows xp soft ware….so far it tells me I have no viruses but it’s so annoying…I really would welcome any suggestions…thanks

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