I see Microsoft has an article describing this behavior, though in my experience the problem may be more general than the article suggests, though the mechanism may be the same.
What happens is that whenever you run Internet Explorer 7 (IE 7), or things that invoke it such as Windows or Microsoft Update, it vanishes off the screen as soon as it appears, with no error messages as to why it has done so.
I've seen this in previously-working IE 7 installations, but more commonly after something has interrupted an IE7 installation. What would do that? Automatic Update, that's what... as seen in the "Windows Bugs" photo set at my other blog.
I've seen this regularly, as others have not, so I wondered why this might be. Perhaps it's because the PCs in question have a lot of old patches to catch up on, so Automatic Update gets active as soon as they reach the Internet, plus I often install IE 7 from a saved copy off CDR at around the same time.
What is supposed to happen is that the Internet Explorer 7 install does its thing, then prompts you to restart Windows within its own series of successive blue dialog boxes. Instead, these dialogs are still indicating files being installed etc. while Automatic Updates pops up its usual grey dialog telling you to restart Windows, and if you cancel that, it will pop up again and again.
I've always wondered whether Automatic Update co-ordinates itself with what Windows or Microsoft Update are doing, or whether the same material gets downloaded by each at the same time, doubling the bandwidth consumed. This case suggests problems of that nature; the IE 7 installer should trap and disallow (or gracefully clean up) software-initiated shutdown requests, and/or prevent other items installing themselves while the IE 7 install is in progress. Similarly, Automatic Updates should detect Microsoft's own installation activity, be this locally or as managed from update web sites.