Always ask me before... grey

Hi to all !
First of all, I am translating from an OS that uses Italian, so forgive if
some words are not exact.
I am using an old laptop, Win 2000 pro SP4 and IE6. I use an administrator
account; my privecy settings, in IE6, are medium.
When I try to download some file, a window appears, asking "What do you want
to do etc.. Open, save, ecc.
There is the last row in this window, saying "Always ask me before etc..."
but I can't uncheck it, it is "grey", and in some manner, locked. This
happens with PDF, JPG, EXE and every type of file.
OK, I will never uncheck it, I want to be warned before I download or run
anything, but... Why I can't uncheck ?
Thanks in advance !

PS crosspposted from Windows 2000 general, thanks to the suggestion of Dave
Patrick