Constant,

1) Is your computer in some kind of enterprise environment (work, school, etc.)?

2) Any antivirus / web security kind of software installed?

3) Did you by any chance activated "Network Protocol Lockdown" feature in Windows XP/Vista/7?

Unfortunately, there is an excessive security policy activated in your computer and above are typical reasons for it.

Also try updating to very latest IE using Windows Update.

Andrei