You didn't state your OS. In XP, right click on "my computer" and select properties. Go to the advanced tab and click on the settings button under performance. Click on the data execution prevention tab and select turn on DEP for essential windoes programs and services only.
If this continues to happen I'd try updating IE as this shouldn't happen unless the sites you are visiting contain trojans or you have an infected add on installed in IE. You can try disabling the addons one by one to eliminate the possibility of one of your addons being infected.