IE8 Enhanched Sec Configration on Citrix PS 4.5

Hi All,
We have Citrix PS 4.5 on windows server 2003 SP2, we have upgraded IE7 to IE8 and since then every time a user try to open a website they getting "Content from the website listed below is being blocked by the IE Enhanced Security Configuration" and then they have to add the website..
I have checked windows component, found that the IE Enhanced Security not installed for both users and Admins, while on the users’ IE is says that IE Enhanced Security is enabled. Not sure how.
Does any one have any idea?
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