I think the the problem you are having is to do with your registry.

Presumably Spybot has picked up on some unwelcome registry entries?
The sort of key you should see is something like:
HKEY_USERS\S-2-8-20\Software\Microsoft\Windows\Current Version\Internet Settings\Zones\0\1004!=W=3

If so, update your registry, so go to Start->run->regedit

You should see a key of '1004' (REG_SZ) - delete it.
Then create a new DWORD value called 1004, and set the (hex) value to 3.
Repeat for all registry entries, and that should fix it.

If this doesn't make sense, then PM me, and it is definitely a good idea to back up the registry first!

EDIT: Should have added that it looks as if Spybot does kill the DSO problem, but doesn't clean up the registry, which is why it gets confused ...
The key thing here is that the 1004 value should be a DWORD, and not a REG_SZ value, so it probably doesn't matter anyway.