Try this for a fix:
Start, Control panel, add or remove programs, Microsoft Antispyware, change,
update.
Let me know whether that fixes this particular setting issue. If it does
not, there is probably a specific .gcd file in the installation folder that
holds these settings:
Hmm--both gcAgentsDataStoreData.gcd and gcUserData.gcd seem to change when I
mess with that setting. In my case, I uncheck it, hit the Save button, and
when the "settings saved" notifcation appears, the box is checked again!
This is clearly buggy, but there ought to be a way to get it back to the way
you want it. You can try deleting or renaming one or both of those files
and see what the effect is--they should be reconstructed, but other settings
may be changed as well--if they are set in non-default ways, or, perhaps,
the wizard will be re-invoked at next startup.