My upgrade to Internet Explorer 10 was also an upgrade to a 64-bit Internet Explorer. And for some reason, 64-bit variants use another register key:
Setting a DWORD iexplore.exe with value 0 in this registry key fixes the issue.
The 64-bit variant is also very slow, and switching back to 32-bit is a good choice to fix this slowness. The 64-bit variant of IE is only used with the 64-bit variant of IEDriverServer.exe. Using IEDriverServer.exe 32-bit let you switch back to IE 32-bit.
To be complete, the register key for 32-bit is: