Today I had same IE9 browser issue as described by Peter, but on an otherwise normally-funtioning Win7/64 PC (IE not a Win7 rebuild as Peter described). Thinking about what was common to the web sites I could not get to, plugins hit my mind, Flash in particular: I uninstalling and reinstalled Flash and Shockwave, which have recent update releases, and that corrected the issue allowing browsing to various sites (EG BBC.com) with the "Enable Protected Mode" box checked as it ideally should be.
Whether it matters I don't know, but I did the reinstall under the domain user's account by entering the domain admin u/p when prompted.
I also did not isolate whether it was actually Flash, Shockwave, or both, that caused the initial issue.