Hi Haridoll
This is expected behaviour in IE and I don't believe there are any IE settings that can be changed to stop this. You could experiment with Javascript on your form to try and close the current tab, but I would recommend against this as you might get unexpected behaviour (if it is even possible).
As a sort of workaround to this issue I have in the past created a "Redirect" form that contains a generic message (and company logo) that says something like "Thank you for submitting your form, you may now close this tab". Instead of using the "Close the Browser Window" rule I used a "Navigate to another form" and selected the Redirect form. This approach is a bit more graceful than simply going to a blank tab. You could get clever with the message to and have it display dynamically (e.g. by passing in parameter and/or executing a smartobject read method to return the message).