Presuming your using IE 6 still one or two things could and o cause this problem so you might like to try the following:
From IE click TOOLS > INTERNET OPTIONS > ADVANCED > BROWSING.
then uncheck 'REUSE WINDOWS FOR LAUNCHING SHORT CUTS'.
Next certain POP-UP blockers can cause this problem too, the most troublsome ones comes with Yahoo Tool Bar, Google Tool Bar and MSN Tool Bar, yahoo being the main culprit, if you have it installed, uninstaling it should recover the situation.
Next some of the IE.? versions touted around as 'upgrades' on Magazine freebie disks ect have often been altered using IEKA an admin kit for IE and it, like so many MS products has a bug that on occasions breaks or just plain leaves out a single important registry key leading too a number of DLL files comming up as broken or missing, a lengthy resolution can be found here:
http://support.microsoft.com/?kbid=281679 Simpler just to repair IE rather than mess around with the registry by downloading a fresh copy from MS.
Few other useful links can be found to cover this subject here:
http://inetexplorer.mvps.org/answers/27.html
Link that is Well worth keeping.