When you install IE5, an Active Desktop item is added to the Settings menu.
To hide the Active Desktop menu, navigate to:
Add a new Value Name of NoSetActiveDesktop.
Microsoft has conflicting statements as to the Data Type, but I would try a type REG_SZ first.
Set the data value to 1 to hide the Active Desktop menu. A data value of 0 will show it.
NOTE: If this doesn't work, after a restart, set the Data Type to a REG_DWORD.
NOTE: A visitor reports that navigating to:
and setting the HideIcons value name, a type REG_DWORD, to 0 (False), worked.
See tip 1241 for IE4.01 /SPx.