Right,
Is their anyway way I could stop applications from opening Internet Explorer, I just had a .MP3 sent to me and it opened up Windows Media Player, then Internet Explorer leading to a fake AntiSpyware Site.
So, is their anyway I could stop it?
Yes there is but I would like to suggest you to block iexplore.exe on per application basis.
You need to find wmplayer.exe in Defense+ Tasks > Advanced >Computer Security Policy and edit its policy.
In order to prevent iexplore.exe to be launched you need to set wmplayer.exe policy to use a Custom policy .
Then you should modify the access rights for Run an executable.
http://wiki.comodo.com/images/Exeptions.gif
If wmplayer was already set to use a custom policy then you have to check the allowed tab first and remove a reference to iexplore.exe.
To block the loading of Iexplore.exe you have to add it to the blocked applications tab