IE 7 User Protected Mode always Off - even when UAC is on

I'm using Vista Ultimate and IE7 says that Protected Mode is Off. When I open
the security settings the box is checked to "Enable Protecte Mode".

I've been looking all over the forums to see if anybody else is having this
problem and I can't find anything.

Many people say that trusted sites and local files are browsed with
Protected Mode Off. My browser is OFF always.

Any help would be greatly appreciated.