hmm i've also experience that before
i just did the following:
1. reinstall your infinityMu.
2. After reinstalling infinityMu. delete the infinityMu Installer(why? because my anti virus detect infinitymu installer as a virus so i decided to delete it. )
3. reinstall your wtfast ( If your using wtfast or any third program that will lower your ping )
4. Scan your whole system computer
5. restart your computer and your modem.
6. try to play and observe if your mu client will auto close again.
i hope it will work to you
update us if its work to you.