Anytime Internet Explorer starts acting squirrely, the usual suspect is spyware.
First, go to
this page and download WinsockXPFix. You may not need it but if you do, you won't be able to get online to get it. Remember where you saved it.
Then, if you haven't already, download, install,
immediately update and then run
Spybot and/or
Ad-Aware. Read the help files to familiarize yourself with how they work. I recommend you use them both since each tends to find things the other misses. Let them clean up any spyware found. Don't skip the update step, it's important!
If after removing spyware you find you can't get online (rare but possible), run the WinsockXPFix you downloaded.
Please post back with the results.