"Key : HKCU \Software \Microsoft \Windows \CurrentVersion \Policies \Explorer
Entry : NoOptions
System : 95, 95+IE4.x, 98, ME, NT, 2K
Type : REG_DWORD
Range : 0 or 1
Default : 0
1 : Disables the option Options in the Explorer Display menu."
This key is set by some tools which you would have to share you are running such as Spybot or other. Some PARASITES drop such registry entries to make it difficult to remove the MALWARE. Here's a link to the FIVE SCANS that find and optionally remove the PESTS: