Have you checked the Event Viewer? Have you run anti-virus scans?
You can also try to boot in Safe mode, to see if an installed product is causing the problem.
Another try is to check system integrity :
How to Repair Windows 7 System Files with System File Checker.
You could also turn off temporarily any security software you have (anti-virus, firewall etc.).
This Microsoft Support article suggests some more solutions:
When you start Internet Explorer, it opens, flashes, and then closes immediately
- Reset Internet Explorer settings :
Control Panel / Internet Options / Advanced / Reset Internet Explorer Settings / Reset.
- Internet Explorer troubleshooters in Windows 7 :
Control Panel / System and Security / Find and Fix Problems / View All / Internet Explorer Performance / Next.
If these do not help, it would be useful to know more about your Windows version and computer.