Dave Miller--What version of IE are you running? You did not by any chance have IE6 and revert to IE5?
Someone over on LurkHere forums has that message in IE5 after having uninstalled IE6. The setting is on the IE6 Security tab as anarchyreigns has said. But there is no box to check/uncheck on IE5's Security tab, so it seems that particular IE6 Registry setting did not uninstall. No one has found a solution yet, though I am not sure if they tried reinstalling IE6 and then uninstalling again.
Does your error message mention OE, like Mooghaun's did? If so it would seem the problem is with OE and not some other program like ZoneAlarm or antivirus.