It's possible that there is a bady on there blocking access to the options; check your "add remove programs" list for anything odd; something like dealtime, or search assistant? I'm going to recommend that you check out the spyware help section stickyThen post a hijackthis log so that we can see if that's what is going on.

Some firewall/anti-virus programs will deny access to the internet options menu, but not usually from the control panel when you are logged in as administrator. A few malware app's, block the internet options menu from both area's via registry changes; in order to protect the changes that they made, such as your home page and internet security settings.