Have W 7, and IE 8, all updated with the latest MS patches.

I wonder about "Protected Mode" in Internet Options > Security. The Security for Internet is set to Medium High AND the box for Protected Mode enabled is checked. Despite this fact. on this website it says below: Unknown Zone | Protected Mode: Off. On others it may say: Internet | Protected Mode: Off. Is there an explanation for this? The mode is enabled!
Is there possibly another setting somewhere else?

Did not have any issues so far. Have Kaspersky AV, W 7 firewall on, Spywareblaster active, and regularly check with Spybot.