Try this: jot down the URL of a site or two.
Then go to start - run. Now a little dialog box shows up. In the box, type "ping" followed by a space, and then the URL, then hit "OK". You should see about 3-4 replies from the site. That indicates that the site is accessible.
If that runs OK, the problem is in your computer and not the site.
I can't tell you what your settings ought to be - thats for you to decide. Look under tools-options- click the security tab and click on Internet zone, then click the button that says "Custom Level" and there you can experiment with activeX and cookies settings and others if you want. However, something makes me think that these settings may not be the problem. Most of the activeX and cookies settings will still allow you to visit a site even if they're not optimal.