Have you checked your computer for "adware/spyware" recently -- my guess is there's a program running on your computer that keeps resetting it.

If you are using internet explorer-7, here is how to turn on the pop-up blocker. Click tools-pop-up blocker-turn on pop-up blocker..Good Luck..

I see this thread was started a while ago, however I have just had and resolved the same problem (May 2008). I am by no means a computer expert but do have a sound knowledge and the following has worked for me. Start Windows in 'Safe Mode with Networking'. In my case I was using Windows Live Safety Scanner so needed to be able to connect to the internet. Open Internet Explorer and change your Cookie settings to your preference. Apply the settings and close and reopen IE. The settings should now stay the same, meaning that the offending program causing the problem is no longer running. However, if you were to restart Windows at this point you would be back where you started. The offending program appears to duck the scanner and probably other spyware tools as it appears to be active at all times, preventing it from being scanned because it is in use. I ran the Windows Live Safety Scanner, but I guess other ad/spyware programs will work too. When complete and spyware etc has been removed, restart Windows normally and your settings should stay as you set them. My machine is still fully operational with all my files etc intact but I would still recommend backing up your system before doing the above. Hope this helps someone else in the future. Good Luck :-)