do you want to move or copy files from this zone?

I originally posted this in the Internet Explorer group but thought that
since it may be update-related I would post it here too.

Until I reformatted my XP pro machine this weekend, I was able to click
an image from say a webpage and, drag it to my desktop or to a folder located
on my machine where it would be saved.

Now, since my re-install, when I click and drag a picture to anywhere on my
machine I get a dialog box asking "do you want to move or copy files from
this zone" Sure I can click yes but it's annoying!

I read article 888534 on the Microsoft support site that looks like my
problem may be related to an update but the instrctions to turn this
'feature' off assume that I had turned the 'feature' on in the first place,
which I didn't. I have checked my settings in and they all seem to be correct.

Does anybody have ideas how to stop this dialog from appearing?

Thanks