From MS Knowledgebase:
Cannot Disable Script Debugging in Internet Explorer
When you disable script debugging in Internet Explorer and you view a Web page that contains script errors, you may continue to be prompted to debug the script.
CAUSE
This issue can occur if you have Microsoft Visual InterDev 6.0 installed on your computer and it is configured to debug scripts running in other programs.
RESOLUTION
To resolve this issue, use the following steps:
Open Visual InterDev 6.0.
On the Tools menu, click Options.
Double-click Debugger to expand the branch, and then click General.
Under Script, click to clear the Attach to programs running on this machine check box.
Mark