It may be a spyware program. Try using a spyware remover, such as Spy Sweeper, to scan your computer.

Go to the two locations listed below and read about "About Blank". Good Luck if you have "About Blank" on your computer. Very hard to get rid of.

http://www.pchell.com/support/aboutblank.shtml

http://www.securiteam.com/securityreviews/5RP0L0UD5U.html

there is indeed [a rather old piece of] malware --- a homepage hijacker --- by the name of about:blank.   

 

but about:blank can also be used to designate that the user simply wants to open IE, without it automatically loading any particular web page.  

    Tools  /  Internet Options  /  (HomePage) Use Blank

This second case is simply a user choice, and not malware.

 

it's important to distinguish between these.

 

since the problem only occurs upon trying to  exit   IE, it sounds more like a "bad" installation of IE --- or a conflict with something else running --- than malware.