IE settings not saving

I have xp home. I set the administrator settings that I wanted. However, when I log on as another user, I can't change/set the IE security settings. I tried running IE as the administrator. I also tried creating the 2nd account as admin, setting security settings, and later changing to a limited account. No matter what I do, I cannot either set the default security settings for the new account, or change them as I use it. HELP!! Thank you.