This points to malware. Run the usual checks (Spybot, Adaware, housecall, to start with; hijackthis as a last resort).
You can try to change it directly in the registry. It's in HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main, then Start Page on the right side. But most malware will reset it to their own preferences.
I am running win-xp-he OS with IE ver 6.0 as my browser. When I open the Internet Options Tool, I find that the Home Page Selection Box is "greyed out".
How do I correct this?