Now, because Internet Explorer thinks mallware has changed this setting, it warns you in internet explorer with an message in the information bar ("Your current security settings put your computer at risk") taking up usefull space, so I wanted to disable this (and also because I know what I do and my system is still secure even tough Internet Explorer is trying to tell me it's not).
Anyway, I finaly found a way to disable the annoying security check:
How to get rid of the Annoying Information Bar in IE7
This tutorial is written for those experienced computer users who understand how to configure Internet Explorer Security Settings, and what all the settings mean. Internet Explorer 7 DOES improve security, however, for IT professionals who know what they are doing, IE7’s “improved security” is annoying and we can do without the idiotic “bloop” sounds and frustrating information bar popups
Windows XP Pro: Go to Start->Run->gpedit.msc
Double-click the “Turn off the Security Settings Check Feature” entry and choose “Enable
Explanation: This policy setting turns off the Security Settings Check feature, which checks Internet Explorer security settings to determine when the settings put Internet Explorer at risk. ( NOTE: this means that the annoying bar will not pop up) NO MORE ANNOYING INFORMATION BAR!!! If you enable this policy setting, the security settings check will not be performed. If you disable or do not configure this policy setting, the security settings check will be performed.