Yes, quit changing the security settings.. If you let it run in protected mode, the only things you get at the top of the browser is notificatio of file downloads or pop-ups or phishing messages..
I would change Cookies to First Party Accept, Third Party Block and Always Allow Session Cookies checked.
You can also adjust your settings in the Advanced area, but in the security tab, it is best to run it in default mode, or you can manually edit them after you set to protect mode and let it auto configure the default level..
As you adjust settings, you will see non secure items turn pink.. go with default settings.
I am in process of writing up Optimum IE settings for protection, however I also have the AVG 8 on here with the link scanner.. It does slow IE down some, however it isn't really that much to notice.. maybe 1 second to 2.. that is about it.. Now if you are posing a message, at times it may take a moment to get the message up since it will first scan the message and then attachments if any as well as the page you are posting to.. Great security.
AVG can also scan and block incoming Tracking Cookies.
Anyhow.. I will look into getting a guide up soon..
My main question is this.. Are you running IE 7 or IE 8 Beta? I'm using the Beta myself, so if some security items come up in my guide that IE 7 does not have, just skip them.
I should have the guide up in about a week or so as time permits.. I intend to be specific.
Hope that this helps.