When you note that clicking okay doesn't change anything, do you mean that after clicking okay and returning to the dialog via Change Settings/Tune-up tab the setting remains unchecked?
Before doing the reinstall that Jim suggests, try using the database reset tool:
http://www.microsoft.com/downloads/details.aspx?FamilyID=4bc2594b-95ab-4235-b5b8-41656b38480f&DisplayLang=en-steve
Microsoft MVP Windows Live / Windows Live OneCare, Live Mesh, & MS Security Essentials Forums Moderator