Steve,
This repost from Mike Burgess should help:
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If your status bar disappears when opening a new IE 6 browser window:
1) With (only one) IE open, click View, select: Status Bar
2) Right-click on IE's Toolbar and select: "Lock the Toolbar"
3) Hold down the Ctrl key and click the close button (upper right)
4) Open Windows Explorer, click View, select: Status Bar
5) Right-click on Explorer's Toolbar and select: "Lock the Toolbar"
6) Click Tools | Folder Options | View tab
7) Click the "Apply to all folders" button. (XP only)
8) Hold down the Ctrl key and click the close button (upper right)
9) Open IE to any page, right-click on a link and select: "Open in New
Window"
10)Verify that these Registry entries exist:
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main
"Show_StatusBar"="yes"
"Show_URLinStatusBar"="yes"
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Hope this helps,
Don