Found this
similar error <<<
The response has a link to download a replacement Urlmon.dll.
This error was on a 2000 pro OS, not sure if its OS dependant though.
You would probably have to boot in safe mode to a dos prompt to replace the dll and I'd save the original just in case.
This would be an "if all else fails" thing to do and I can not be sure what other erros it could cause.
Did you happen to just install Service pack 2?