enable sending refferers

Whenever I try to add a new theme – I get “Sorry, you need to enable sending referrers for this feature to work.” I go through the steps to enable sending refferers (ie. internet options – security – privacy), but I still get the same message and can’t add the theme. The instructions are for IE 6 and I have IE7 – I don’t know if that makes a difference. Any help would be much appreciated. Thanks,

Dan