Second idea - See if there is something in your programs list that looks like it you can uninstall. If nothing obvious pops up there, a free program like ccleaner (reputable) will help you see if there are any startup programs running that are making this more difficult for you.
Sound like a Group Policy setting to me.
To check your local group policy setting follow the following steps;
Starrt - Run - Type 'GPEDIT.MSC' - Navigate to the following section in the left hand side 'User Configuration\Administrive Templates\Windows Components\Internet Explorer' and on the right hand side you will see a setting called 'Disable changing homepage settings' if this is 'enabled' then double click and change to 'not configured' else post back for more ideas.