From
Kelly's Korner. Of course, this only applies if you're using McAfee AV.
History - Not Being Saved
McAfee gave this solution to the bug where VirusScan 6 stops your Internet Explorer History file working. Hope it is of some help:
Open VirusScan console
Select "Pick a task..."
Select "Change my VirusScan settings"
Select "Configure VShield background scanning"
Select "Customise your VShield settings"
Select the "Internet Filter" icon from the icons down the left hand side On the "Detection" tab, in the 'Applet filters' section, remove the tick next to "ActiveX Controls".