The very first time you open Internet Explorer, it should automatically take you to Microsoft's website , so that it can tell you (falsely) what a wonderful browser you've got. The program is designed to visit that page just once, hence the 'run once' in the URL.
For some reason, your Internet Explorer files have become corrupted and the program won't let you do anything else. (Indeed, given that it continually tries to connect, it won't even do that).
You've not stated which version of IE you're using, or what operating system you've got, but this might help:
http://support.microsoft.com/kb/318378
Chris