depending on which version of windows you are on, there was an option in IE that allowed it to automatically check for updates to IE, and if this is due to run, it will do so on startup.
I can't remember where the setting for it is, or how it's scheduled, but I know that for a while, an old WIN98 machine that hadn't been used on line for a while used to annoy the **** out of me by going off to check for updates, and it was only after I let it do it, with appropriate checks to make sure that it wasn't going somewhere innapropriate, that it eventually caught up with itself and stopped doing it.
Unfortunately, the other real possibility is that you've been hijacked by something nasty, so somehow, you're going to have to try and find out where it's trying to go, and if it's not somewhere that's acceptable, then find out why, and remove whatever it is that's doing it.
Sorry if that's not a lot of encouragement.