I suppose the primary area to check is the Internet options, general tab, and in the Browsing History section, make sure the Delete browsing history on exit box is not checked, and on settings, make sure it shows how many days to keep the history.
If not that, do you have any other software that will clean your system?
You need to wait for a more experienced person to give a precise and correct answer - sorry. But with your Kaspersky updated, and a functioning Firewall, updated too, you should be safe. IE9 protected mode is an extra to security, and there seems to be quite a few problems with it e.g. "not being able to print". --- I don't use IE, I don't really know it, sorry #2.
You have Service Pack 1 for Windows 7 installed? And all important updates? And, generally, your computer works fine?
The question that should have been made at the very start, did this problem start suddenly and if, when, and can you locate the date or any actions to that point of time? If you can locate it, you could simply try a Restoration point.