Also, refer Fix 268 from Kelly's site: [For Windows XP] http://www.kellys-korner-xp.com/xp_tweaks.htm
Restore All tabs in IE and Removes the ** Internet Options ** Restrictions
as well
The problem may be due to:
1. A spyware. Download Ad-Aware from www.lavasoftusa.com, scan the system
and eliminate the malware products. Re-apply the above fix if necessary.
** Remember to update the pattern file using WebUpdate in Ad-Aware **
2. You have enabled SpyBot immunize (protection) feature or any other
similar software. Also, disable the following features:
"Lock IE start page against user changes"
"Lock IE control panel against opening from within IE"