IE 8 closes down every time I try to download a program or select a link to go to another website. Why?

Run updates and run a good AV scan. Microsoft security essentials (http://www.microsoft.com/en-us/security_essentials/default.aspx), AVG (http://download.cnet.com/AVG-Anti-Virus-2011/3000-2239_4-10385707.html) and others are available for free. Your problem may be malware related. Once you are sure that you computer is updated and clean then try again. There are other browsers available like Chrome and Firefox. Updating to IE 9 (http://www.beautyoftheweb.com/?ocid=ie9_bow_Google&WT.srch=1&mtag=SearGoogle#/download) may clear this up also.