Loaded fine here with all protection in place. Have you anything else installed that might be working in tandem with or interfering with Spybot? I take it you updated to 1.4, did you do a clean install or over the top as there were warnings that it could cause problems (no details though

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What's the URL it's whining about at the bottom of the browser window?
Must admit it did try to load 9 cookies in the background