I've moved your post to the Tune-up topic as the monitoring of settings is a function of this part of the program. Are you saying that you are being prompted by OneCare that you are at risk because the Phishing Filter in Internet Explorer is off, but that you have turned it on and this is happening repeatedly? Is it happening after you restart the PC or at random times? How long has this been going on? Are you perhaps using a 3rd party security product or IE add-in that provides similar protection and it is turning off the IE Phishing filter? If so, you would want to remove that program.
Other than that, the best I can suggest is to contact support. I've not heard of this problem before.
How to reach support (FAQ) - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2421771&SiteID=2
-steve
