After running "Immunization" on SpyBot, the results window says:
"Open Browsers Detected. You should close "Internet Explorer (Administrator)" to make sure immunization is successful"
I clicked on IE to close it and saw that it was already closed, and that I was not running IE.

I ran "Immunization" a 2nd time, and it again said that IE was open and I should close it.
Why is this happening?
Is it possible that another copy of IE is running on my computer that I don't know about?