Try a little experiment for me. Download either of these free, safe browsers:
http://www.mozilla.com/en-US/firefox/
http://www.avantbrowser.com/
Do you have the same problem?
More information is needed - OS? XP, Vista or something else?
What firewall are you using?
What AV are you using?
What version of IE is it?
If it is IE7 that you have downloaded, I want you to uninstall it. It is imperative that the instructions are followed EXACTLY when installing this program. You need to close down EVERY other program, including your firewall to install it successfully.