"Windows Explorer" lets you navigate trhough files and folders ON YOUR HARD DRIVE.
"Internet Explorer" lets you navigate to websites and pages ONLINE
They're two entirely different applications and Internet Explorer MUST be closed (and the process terminated) for Flash Player to install.
There are instructions here:How to close Internet Explorer and other programs running on Windows
But I recommend you download the Adobe Flash Player offline installer(s) directly by right clicking each of the following links and "saving" the files to your desktop.
Then, REBOOT your system and run both installers BEFORE you open anything. That way there are no processes outside of Windows running.