If you still desire to have Internet Explorer locked down and protected by the immunization, you should be able to access Internet Option not from with internet Explorer but by right-clicking the desktop icon and selecting "Properties".
Otherwise you have two options that will still allow immunization but allow access to Internet Options from within Internet Explorer.
The first option requires that you launch SpyBot and switch to the "Advanced Mode".
Under "Tools" you will see "IE tweaks".
Uncheck Lock IE control panel against opening from within IE (current user).
Aslo uncheck Lock IE start page settings against user changes (current user). if you would like to be able to change your start page from within Internet Explorer.
The second option accomplishes the same thing through Registry modifications.
The unlock settings are:
[HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Control Panel]