Excel 2002 - Windows XP SP2

User says that the above dialogue box isn't appearing when he opens Excel,
even though he knows his spreadsheet contains macros. It appears for other
users who open the same spreadsheet. Macro security is set to medium by
default.

I have tried deleting the following reg key but to no avail:

HKCU\software\microsoft\office\10.0\Excel\security

Any ideas? Or does user need to reboot once this key is deleted?

Thanks