Odd getting that on a Win98 box, hummmm.......
From the start button, go to 'Run', type in 'regedit' sans quotes. Back up your registry first! Also export any keys you modify, save them as type 'reg'. Modifying the registry can cause serious problems that may require you to reinstall your operating system!
Restrictions can be set on a user by user basis by adding them to HKEY_CURRENT_USER or on a computer wide basis by adding them to HKEY_LOCAL_MACHINE.
Check both HKEY_LOCAL_MACHINE and HKEY_CURRENT_USER for "\Software\Policies\MicrosoftInternet Explorer\Restrictions" your looking for a "NoBrowserOptions"
Other things you can do....
NoBrowserClose - Disable the closing Internet Explorer.
NoBrowserContextMenu - Disable right-click context menu.
NoBrowserOptions - Disable the Tools Internet Options menu.
NoBrowserSaveAs - Disable the ability to Save As.
NoFavorites - Disable the Favorites.
NoFileNew - Disable the File / New command.
NoFileOpen - Disable the File / Open command.
NoFindFiles - Disable the Find Files command.
NoSelectDownloadDir - Disable the option of selecting a download directory.
NoTheaterMode - Disable the Full Screen view option.
NoAddressBar - Disable the address bar.
NoToolBar - Disable the tool bar.
NoToolbarOptions - Disable the ability to change toolbar selection.
NoLinksBar - Disable the links bar.
NoViewSource - Disable view page source.
NoNavButtons - Disables the Forward and Back buttons.
NoPrinting - Remove Print and Print Preview from the File menu.
These setting are Data Type: REG_DWORD (DWORD Value).
Setting them to '0' turns off the restriction a value of '1' turns the restriction on.
A evil person could have all kinds of fun with these!
Woof!