Hi owes01,
It might be worth un-ticking that box, then close and restart Internet Explorer, and re-tick the same box.
If that doesn't work, maybe an overlay re-installation of IE (i.e. re-install it on top of itself), might help. If you do decide to do an overlay re-installation, although your Favorites should be OK, it might be best to back them up first, just to be sure they are safe.