You may have a hidden workbook that opens automatically as Excel starts
up (e.g. Personal.xls), so the Task Pane closes, despite the Task Pane
setting. You can change the Registry, or add a macro to the workbook
that's opening automatically.
There are instruction for a macro in the following MSKB article:
XL2002: Task Pane Disappears When You Start Excel
http://support.microsoft.com/default.aspx?scid=kb;en-ca;293820
Or, you can force the Task Pane to stay open by making a change to the
Registry (make a backup first!):
1. From the Start button, choose Run
2. Type regedit then click OK
3. Click the + sign to the left of HKEY_CURRENT_USER
4. Open Software, Microsoft, Office, 10.0, Common, and click on General
5. Choose Edit>New>DWORD Value
6. Type the name for the DWORD: DoNotDismissFileNewTaskPane
7. Press Enter to complete the renaming
8. Choose Edit>Modify
9. Type 1 as the value and click OK
10. Close the Registry Editor