Don't Worry. I get the "internet explorer has to close window" regularly.
I always click "don't send" as one of the problems IE is having is talking to the tinternet - and so it can't send anyway, and its only looking to see if there is an update to fix your problem (which there ain't).
My PC was fine until one of those Automatic Updates that happens during the night.
When I click "Don't Send", all my existing IE windows close - all other windows are ok. If I click "Send", there is a 50/50 chance of getting a Dr Watson pop-up, which then freezes the whole machine and then needs a cold boot (power off and on).
The "internet explorer has to close window" has a habit of appearing when I have at least 3 IE windows (each with several tabs), and then I open a local folder on the hard disk.
If I get several of these in a session, it can kill my desktop background - reverting to a plain white screen.
I've tried upgrading IE to a previous version, but it won't let me - so I'm stuck until the next release.