|In the early versions of IE8 there was a definite issue about too many entries in Restricted Sites (those registry entries I mentioned) causing IE slow downs. They can be removed but IE8 has now been changed and IE7 was never affected. |
The only way to find out which entries SpyBot put in is to re-install SpyBot, Immunize, then run their Immunize Undo. This might leave behind a very small number that MS (or other) have put in. You could then uninstall SpyBot if you wish, although those change messages were due to their "T-Timer" utility which is a real pain and definitely best disabled.
Having said that, leaving those sites blocked shouldn't be any real hassle (even beneficial) but you might spot them when scanning. If there is anything real lurking McAfee should pick it up.
I don't know the answer to the slowness because there are all manner of things that can cause this. Clearing temporary internet files and limiting unnecessary background programs would be a good place to start. Some sort of "nasty" is always possible but I think what you are describing is just blocked websites (see IE Restricted Sites).
What's the time?