Well, it's all component based. If explorer.exe recognizes you're typing an URL, it loads the IE component and lets that handle it. iexplore.exe itself is only a small stub that loads the IE COM objects.
Now, if you have "web view" enabled in explorer, it might very well load the HTML rendering components right away (as soon as you open a file explorer anyway, explorer.exe as a shell might not load that... unless you have active desktop enabled). I always disable webview anyway.
I'll have to admit I haven't done thorough traces or looked super-closely at loaded DLLs etc., but there's a noticeable speed difference on launching IE6 first vs. secondary times, especially on older hardware. (
part of that speed difference is from loading the temporary files cache, probably).
As for not being able to
really remove IE, that's partially because of the common controls issue - but also because a number of other applications depend on the IE html rendering controls. Some version of norton antivirus used it for it's UI, for instance >_<. Other applications use things like WinINet functions (InternetOpenUrl, InternetReadFile etc.) which are also done from IE components... see the picture?

It's wrong saying that "internet explorer is preloaded when windows starts", because (at least from my experience), large parts of it isn't. And the parts that are preloaded is stuff I consider to be part of the core windows, even if it was originally introduced with IE.