First BACKUP the registry. In fact, back up the whole system, since it appears there have been issues.
The registry key you are seeking is:
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\Ratings\.Default]
DWords:
Allow_Unknowns, Enabled, PleaseMom
Create a new DWORD value for each required restriction from the list below.
Enabled - (1 = enable content advisor, 0 = disable)
Allow_Unknowns - (1 = display unrated sites, 0 = restrict unrated sites)
PleaseMom - (1 = allow supervisor password, 0 = no supervisor override)
Restart Internet Explorer for the changes to take effect.
How to backup and edit the registry in XP and Windows 2003:
http://support.microsoft.com/kb/322756
How to backup and restore in Windows 2000:
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q322755
How to backup and restore the NT 4.0 registry:
http://support.microsoft.com/kb/323170
How to backup and restore the registry in Windows 95 and 98:
http://support.microsoft.com/kb/322754