welcome to TIMO...
u have AOL installed still, or have you uninstalled it? If this is Windows XP, look in the Add/Remove Programs control panel for something called "AOL Toolbar" and uninstall it, make sure to restart the computer and hopefully it will go away. for Vista, look in the Programs and Features control panel to remove the program.
if you don't use AOL, make sure to uninstall anything that says AOL or America Online in the control panel. again, make sure to restart the system before trying it.
you may also have to manually set the start page in the Registry. go to Start->Run, type in "regedit" and then click OK. navigate to and then highlight the following key:
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main
look for the value on the right called "Start Page" and change it to whatever website you choose. Also take a look at the value called "Local Page" as this should say "C:\Windows\system32\blank.htm"
also, another suggestion would be to use a different web browser. there are many out there, so you can do a search and compare how they work if you like. I use either Firefox or Opera. I think Netscape Navigator is still out there, and like I said there are others. Apple even recently released it's Safari browser for windows, but I think it's still in beta testing.
Hope this helps!