This 'universality' of the IE usage is getting to me!

Whenever I do things involving IE - which is getting to be just about anything these days - things are left as at last usage when I start (it, for whatever) again.

This in addition to inappropriate font settings from one usage (regular net access, say) to another (like reading MSDN) and things like that.

So I figure that there MUST be some way to segregate these various usages of IE and I'd like to know how to do it.

My latest was this situation:
I went through UT messages. After getting to the last one I went back to find the keynote thread and clicked on the keynote link. It started in a non-maximized window, as I wanted). Started watching it. As it was long I fiddled as I listened/watched. One thing I did was to close out the UT instance of IE (which had started maximized, as I had wanted).
When the video ended I closed its IE instance.

When I started up this IE session to get at UT it came up non-maximized, WHICH I DIDN'T WANT!

So, how do I get some control over this beast?!?!?!? I think it's only going to get worse as more and more applications use it for their output.

Thanks