Ahhhhh .... the old "DSO Exploit Bug" ... actually, if your Windows and IE are fully updated, you really have no problem. Essentially, what's happenin' there is that Spybot is not findin' the registry value it expects to find in your Internet Security settings. Actually, I thought that bug in Spybot had been fixed, but apparently not, though I just ran it on a couple of my machines, and it didn't come up. Anyhow, try
DSOSTOP, a free, reliable automated registry editing tool that will set the values to those Spybot expects to see. Read and follow the instructions on the download page, particularly the part about closing all browsers and media players, and running the fix while off-line.
If you're feelin' adventurous, I can step ya thru manually editing your registry, but I'd rather not run a neophyte thru that ... too much room for error.
Again, if your Windows and IE are fully updated, you are not vulnerable to the DSO exploit. An MS security update patched that hole a long, long time ago.