It might be a security program blocking the Registry change it needs to
make. A few of the programs now doing this are:
Ad-aware's Ad-Watch
Fsecure
McAfee VirusScan and/or Antispyware
Norton AV
Spyware Blaster
Spybot> Tools> IE Tweaks
Spybot- Teatimer
Spysweeper
Windows Defender
Zone Alarm (free) 6.5 Reported to be fixed in later versions.
In the case of Zone Alarm 6.5 it actually has to be uninstalled. Make sure
the Windows Firewall is turned on until you reinstall Zone Alarm.
Boot into Safe Mode with Networking with Networking and try the change.