I just re-read your original post. You have Windows XP which doesn't have the same option, so ignore my earler post.
Instead you need to right click on My Computer, then Properties, Advanced, Performance Settings then Data Execution Prevention. Then tick the button next to "Turn on DEP for all programs and services except those I select".
Click "Add" and navigate to C:\Program Files\Internet Explorer, and select iexplore.exe. Click Open, Apply, OK, and OK again.
(This disables DEP from working in IE7. I had to do it this week when IT decided to push IE7 to all computers at work and I was getting 3-4 DEP errors per day).