URLMON.DLL error message

When I open Internet Explorer in Windows ME I get the following error
message.

"EXPLORER

Explorer has caused an error in URLMON.DLL. Explorer will now close"

If I close this error box Internet Explorer shuts down and the computer
reverts to the Desktop. However, if I move the error box to one corner of
the screen I can continue to use Internet Explorer as I would normally do.
Please note I have not made a mistake with this error message it really does
have the heading "Explorer" and not "internet Explorer" even though it is
the latter page that I have opened.

Please can anyone explain this strange behaviour and tell me what I can do
to put it right?

T.Hyde