Did you actually go the page you want to see before clicking on the tools menu?
Are you sure that you clicked 'Apply' before OK? Once you've done that (after clicking on 'Use Current'), whatever page was displayed at the time should become your home page.
Follow the instructions again, the immediately close Internet Explorer. (That might help to persuade it to save the setting). Then open it to see which page is displayed.
However I'm amazed that you're actually using Internet Explorer. Hardly any of the regular users of AB do so. Most of us use Firefox (which is about a zillion times better):
http://www.mozilla.com/en-US/firefox/new/