"iexplore" program won't shut down?

When I try to turn the computer off a box appears attempting to close the above Internet Explorer program but it fails to respond. On clicking the "end now" instruction the box reappears and it starts all over again. This can happen 4 or 5 times before the shut down occurs. I have tried deleting "iexplore" but this is not permitted. Any suggestions from you computer experts out there?