Can not change Web Zone security settings

I am working on an XP Home machine. When I try to get MS
updates, I get a message that states that the security
level is too high. I change the setting, but it does not
"take". When I reopen Internet Options, the old setting is
there.

I also can not log on to yahoo mail, hotmail, or msn. I
can log onto bellsouth.net, and excite mail.

I would GREATLY apprciate any tips.... I can not use Window
Update at all!!

Thanks,
Holly