I've just been through it - so follow me...
Click on Spybot icon till it loads fully.
In your left hand column click Immunize.
A small 'Warning' notice will appear assuring the number of products have been blocked. You need to click OK.
Go to the bottom of the page beneath where it says'Enable permanent blocking of bad addresses in Internet Explorer'.
You will now find a selection of options. Click on the little right hand arrow pointing downward till you find ' Block all bad pages silently' - and then EXIT.