trying update but says change your Internet Explorer security sett

I want to update my computer but I get this message, Please change your
Internet Explorer security settings (full message below). Believe me, I have
done this and check it many times.

I do get update icon on bottom of screen and when I try to click on it, it
goes away.

running windows 2000.

Please help and thanks.
Harry
Please change your Internet Explorer security settings
To save changes to your settings for this website, you need to enable
userdata persistence for Internet Explorer. Complete the steps below, and
then click Change settings to the left and try saving your changes again.
In Internet Explorer, on the Tools menu, click Internet Options.
Click the Security tab, click the Internet security zone icon, and then
click Custom Level.
In the Settings dialog box, scroll to the Miscellaneous section.
Under Userdata persistence , select Enable.
Click OK and when the security warning dialog box appears, click Yes.