Tools->Internet Options
Under the "Security" tab, select the "Internet" zone, and press the "Custom" button. You will see it in that list.
Might want to reset the rest of the zones to thier defaults after doing that as well.
You should also set the browser "Privacy" options to block all third party cookies.
EDIT: All of the above only works if you have SP2 for XP or SP4 for 2K installed AND have updated the OS with all the security patches from MS.