DEP is more concerned with protecting your operating system from glitches in programs rather than malicious threats like worms or viruses. It operates on a level far lower than any antivirus can - i.e. It's far closer to the "heart" of the operating system. You should first test another browser to see if it still happens and if it doesn't then you're looking at an issue with IE. In that case, try reinstalling IE8 to see if that fixes things.

If another browser doesn't fix the problem then you're probably looking at something a little more serious and a full repair or reinstallation of windows is likely to be one of the easier fixes.