Restricted site protection issue

Run windows XP service pack 2, 2.2 gig Pentium 4, up to date Mcafee antivirus, use spybot, use Microsoft antispyware beta, run BHO demon. Several days ago girlfirend clicked on something at MSN.com and i/e home page was hijacked to a page with a picture of a roach and description 'your system is infected' She clicked on nothing more but after I ran spybot and deleted the mysearch/my space items (and reset the home page) I attempted to run an update on spyware blaster. I noticed that out of the blue restricted site protection was disabled. When I check the 'restrict the actions...' box, the checkmarks appear in the boxes for the items in the list and then mysteriously remove themselves. On the summary page it shows restricted site protection is disabled. I uninstalled and then reinstalled the proghram - same results!! any suggestions?