I hate these kind of errors... OK, I tried this web page on 8 different machines. Here's the little spreadsheet:
# OS IE Resolution Load Error Menu Disappear
1 XP SP3 IE 8 1280x1024 Yes No
2 XP SP2 IE 8 1024x600 Yes No
3 Vista SP2 IE 8 1680x1050 Yes Yes
4 XP SP3 IE 8 1024x768 No No
5 Vista SP1 IE 8 1280x1024 Yes No
6 XP SP3 IE 7 1280x800 Yes Yes
7 XP SP3 IE 7 1024x768 Yes Yes
8 XP SP3 IE 8 1280x960 Yes No
Only one machine came up clean (no load error, no disappearing menu). I thought it might depend it screen resolution, but no luck. IE or OS version didn't seem to have any effect on the problem.
Try it on a few machines. I'm sure you'll get it to come up with one of the errors.