What's wrong? You're using Internet Explorer, that's what's wrong! (Hardly any of the 'regulars' here in AB's Technology section would touch IE with the proverbial bargepole. Most people use Firefox or, occasionally, Chrome).
However, assuming that you still want to fix IE,it would help to know the following:
1. Which version of Internet Explorer are you using? (If you're not sure, and assuming that you can get IE to remain open for a few moments, click on Help > About Internet Explorer).
2. Which version of Windows are you using? (With which service packs, if appropriate?). If you're not sure, go to Start>Run. Type 'winver' and hit 'Enter'.
3. Is there a particular file mentioned to at the end of the message you're seeing (e.g. 'Pdm.dll).
Chris