I used to have this problem as well. I don't know whether you turned on your kingsoft 2002 or not. There is a report says that there is a conflict between kingsoft and IE. The IE will sometimes turn off automatically when the kingsoft is on. And i think that's right, as long as turn the kingsoft off, my IE never gets off any more.
Note: that problem for kingsoft 2002. the 2003 version doesn't have this problme so far.