Have you gone into the Advanced Options in IE? I think the settings you are looking for are just turned off by default for normal users.
I could be mistaken though, I haven't been working with Vista much.
Edit: Let me rephrase: have you double-checked your settings under the limited account. Sometimes in an attempt to be "helpful" I've see where XP (or it might have been the security software) automatically changes some settings in the limited accounts.
I realize that your Admin account would have those on and that you are surely intelligent enough to check it on the Admin account. I was just suggesting that like many others, you might want to re-check the limited account.