No. It's not a mystery, you obviously have Vista basic or premium, which do not have access to that feature. Try this instead:
1/ Click the Start button
2/ On the Start Menu click Control Panel
3/ When the Control Panel Window opens Click the Administrative Tools Icon
4/ In Administrative tools window click Local Security Settings.
5/ The User Account Control (UAC) will prompt you for permission to open the Local Security Settings. If you are the administrator then press Continue to give your permission. If you are not the administrator, you will require the administrator user name and password before you can continue.
6/ The Local Security settings window will now open
7/ In the Left hand pane of the window click on the > chevron...