|I was hoping to compare with my XP but I'm on IE8 so things might be a bit different.|
In the Run box type sfc /scannow and hit Enter (note the single space). Let it run through and check the system files. See if that helps.
There are also some options here:
Assuming none of the above help:
Ignore everything except inetcpl.cpl itself. I think the file that is in use should be located in C:\Windows\System32 so see if there is one there. If so, double click it to see if it opens Internet Options window from there - it might prove something.
Did this problem just suddenly happen or was it the result of some activity? Did it happen very long ago? If there have been no viruses about it might be best to try System Restore if you can find a date just before the problem came along.
We all live on a ball.