What you have here is the modern equivalent of what we used to call a "multi-document interface", or MDI for short. Way back when, you couldn't e.g. open two Word documents without running two instances of Word, which was very costly in terms of processing resources. So the MDI was created which allowed more than one document to be open at the same time within the same instance of its application.
This interface took the view that, since you want to have more than one document open at the same time, once you've closed the last one then you no longer need the application to be open, so it shut itself down again for resource purposes.
There are some applications which allow you to keep the frame (for want of a better term!) open when you close the final document, a sort of "Last Man Standing" option.
To the best of my knowledge, Internet Explorer doesn't have this feature. You can create as many tabs as you like until you run out of memory, but as soon as you close the final remaining open one, IE will close itself along with it.
This doesn't fix your "problem", of course... :-)