If you are indeed selecting "Always" in the "Allow this website" settings
tab function, you probably have some registry Permissions problem. I would
try resetting Security to default.
HOW TO Reset Security Settings Back to the Defaults: http://support.microsoft.com/default.aspx?scid=kb;en-us;313222
This will most likely require you to re-enter the parental controls again.
It would depend on what you have done so far.