A: 

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.

AnonJr
Yes, my Internet Explorer advanced options are correctly configured, otherwise the debug prompt would not have appeared as noted when running Internet Explorer as administrator.
Simon Lieschke
@Simon: IE stores per-user settings. This is assuming that you didn't change your administrative user to a limited user, but I'd say it's a safe assumption.
R. Bemrose
I've realised my original question incorrectly described my situation. I'm not running as a limited user, but as an administrative user with UAC enabled. I've updated the question to correctly describe the situation. My apologies for any confusion caused.
Simon Lieschke
I've also just gone and confirmed the debugging options are correctly set when running Internet Explorer normally and when running it with elevated privileges.
Simon Lieschke
A: 

Internet Explorer 8 comes with a built in debugger that neatly sidesteps this problem. This should reduce the time I need to spend debugging in earlier versions of Internet Explorer, so I can live with this annoyance until those versions go the way of the Dodo :)

Simon Lieschke