From click here
To resolve this problem in Internet Explorer, follow these steps: 1. Quit all programs that are running.
2. Click Start, and then click Run.
3. Type regsvr32 urlmon.dll, and then click OK.
4. When you receive the "DllRegisterServer in urlmon.dll succeeded" message, click OK.
If this does not resolve the problem, repeat steps 2 through 4 for each of the following files (in step 3, replace Urlmon.dll with each of the file names below): • Shdocvw.dll
Windows XP and Windows 2000 only
Restart the computer to enable the changes to take effect.