When running the following code, line 3 causes $script_browser to no longer be an Internet Explorer object, which you can see in the error messages caused by lines 5 & 7.
#include <IE.au3>
$script_browser = _IECreate()
_IENavigate($script_browser, @ScriptDir& "\step1.html")
Sleep(2500)
_IENavigate($script_browser, @ScriptDir& "\step2.html")
Sleep(2500)
_IENavigate($script_browser, @ScriptDir& "\step3.html")
--> IE.au3 V2.4-0 Error from function _IENavigate, $_IESt