You either have some adware app on your PC that is keeping it there, or perhaps you have some antivirus/inet security/spyware protection application loaded that is preventing changes in IE. Those are the first two things I would check. There are a half-dozen other possibilities, but not as likely.
This involves editing your registry, back it up first. If you don't understand what you are seeing in the registry and the instructions below, don't do it.
Here are the steps:
Click on Start Button > Run > Type: "regedit"
Go to this key: HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Toolbar
Once there, check out a stringvalue called "LinksFolderName". Simply doubleclick it and delete the value data.
Next, go over to this key: HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Once there, rightclick and create a DWORD Value and name it "NoSaveSettings".
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