Security Setting XP Media Center

I was just visiting my Security Settings and found that they are not as I thought. For some reason I cannot change the one I want to change. I select it, then Click Reset, Apply, and all seems well until I recheck and it's still lower than I chose.

They read as: Restricted High
Trusted Low
Local Intranet Med Low
Internet Medium

Other than the Restricted Site I'm trying to set them all at Medium. They won't stay.

The reason I'm doing this is because I just recently get a small window that "your PC is attempting to download a file from *****" or something to that order. This is new. I viewed the Security Settings and see that it is not set to what it used to be, that is MEDIUM all the way with Restricted to HIGH.

Is this something to worry about?

 

Please pardon my ignorance with this. I finally discovered my problem. It was ME. The PC is innocent. Was trying to do the change incorrectly.