I use xl2k at work (under win2k).  I have security set to low.  (I only open
workbooks that should be opened at work!)

I've never seen it change from what I set it (via the dialog, too!).

I use xl2002 at home under win98SE and I can have it set for low (but at home, I
sometimes open workbooks that I shouldn't!), so I have it set for medium.

But my setting is always remembered and never changed on either pc.

From a previous post:

The Excel security setting is saved in the registry under this key:

HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Excel\Security

This is for Excel 2003.  Should be something similar for other versions.

The item is "Level".  You'd set this to 2 for medium

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and just to add:  1 = low, 2 = medium, 3 = high.
And 11.0 is xl2002.

So for xl2k, you'd want 10.0