On the other hand, sometimes the entire app goes down in flames, at which point you may find yourself at a loss for what to do. If so, check out Digital Inspiration's tips on what to do when Internet Explorer hangs.
Basically, you'll need to bring up the Task Manager (which you can do directly by pressing Ctrl-Shift-Esc, instead of Ctrl-Alt-Del as the author suggests), then click the Processes tab and start ending any instances of iexplore.exe that you see -- starting with the bottom one. Take a look:
Actually, this advice applies for just about any hung (i.e. non-responsive) program -- especially if it's something that you don't see listed in the Applications tab (which is normally where you go to kill an app).
And, please, don't bother posting lame, unhelpful comments like, "Use Firefox/Chrome/Opera instead!" I'm a Firefox die-hard, and I regularly encounter crashes and other flaky behavior. No program is perfect.