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is something I see occasionally, usually in relation to pdfs or reading mail, but is it a M$ joke?

I ask because although I (used to) tick the box, it always returns.

May well be a cookie setting thing. I believe that if you clear your cookie store the setting is not remembered. Does it happen after a cookie clearout?

Tools|Internet options|General|Delete which then opens a new box with several settings in there. (Assuming IE)

Or a program update.

Can't remember the last time I cleaned out cookies, so it won't be that.

Mainly happens online and especially where pdfs are involved.

We know it is a M$ product (you implied as much) but we have no idea which one NOR what you are doing with which programmes at the time - which makes answering a tad difficult!