IE Security Settings Internet and Local Intranet Zone do not save after log off

Hey Guys!
I have a bit of a problem -
My security settings do not save when I set my Internet and Local Intranet Security Settings to Enable ActiveX functionality. See they will stay so long as I do not log off and log back on the system. I am guessing this has to be a setting some where in Windows am not sure where to look. I am setup as a local administrator on the machine and am running Windows XP Professional. I am the only one who uses this machine.

I have assigned the question 500 point due to the urgency I need the answer - I work for a company and we need to have the settings enabled for proprietary applications.

Just to hopefully avoid repeating steps -
I have tried uninstalling the proprietary applications and IE searching through the registry and removing references to both then reinstalling IE and then the applications. This is not profile specific so rebuilding the windows profile does not resolve the issue.

I hope I have given enough information and I really appreciate the time that will be invested with this question.
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Is service pack 2 installed for XP?  If so, check the new Security Center settings...
mehowell33Author Commented:
No - I only have SP1 - but I did find out that when I logon to the machine locally as Administrator the settings save. I guess now would be a good time to mention I am on a corporate network and logon to a domain. So is this something they could control through policy? As I have consulted with others in my company and they report the same issue - they all logon to the domain and the settings do not save - however if they logon locally then the settings save. I am very novice when it comes to what can and cannot be pushed out through GPO.
Yes, then definitely check out policies.  This is what's happening.
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mehowell33Author Commented:
Any clues to what specific policies I should have my server team check out?
If I can solve using this information then I will award the points to you.
I'm just not ready to accept until I have something solid.

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mehowell33Author Commented:
Thank you - although our server team swears there is no such policy in place - I have issued a full investigation and this has been very helpful to see where to begin!! Thank you very much for your time and effort falvaro3!!
"Server guy" must enable the ADVANCED setting when he is editing the GPO.  They must right click on INTERNET EXPLORER SETTINGS > PREFERENCE MODE.  When they do that, there should be a new folder that appeared called ADVANCED.  Have them check settings in there. Going off of memory so I may be wrong on some of the menus.  But that should point them in the right direction.
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