S a S, what you have done should have got rid of this nuisance so it is clear that something is refreshing the Registry Key(s) in which the information is stored. They are:
Current_User\Software\Microsoft\Internet Explorer\Typed URLs
and the associated Key in "Users".
There's no point in suggesting that you edit The Registry even if you were willing and able to do so because that is effectively what you do more safely when you Change the settings in Internet Properties.
Can you see anything running in the background in Task Manager? This is where those sneaky little AutoUpdate programs for Windows, McAfee, ZoneAlarm, RealPlayer etc can be spotted.
Right-Click the Taskbar, left click on Task Manager and look at "Processes". They look daunting at first but when you do this often enough you get used to what looks normal and can often spot the odd one out. Clean WinXP will have about 25-28 Processes running. With a few Plug-ins included, (McAfee, ZoneAlarm, etc) you get up to about 34-35.
After a "Clear History" purge have you tried going through the alphabet? After the
www. start with "a", then "b", then "c" etc and see if there is anything else that has crept back into the "Typed URLs" Key. Maybe a clue as to the program that is doing the mischief.
Finally, you do have a strong Firewall, haven't you?