Cheers Mark for this KB Article over @ Microsoft.. Nonfunctional Privacy Icon Is Displayed When You Navigate Back to Web Sites.
SYMPTOMS
The Privacy icon is displayed in the status bar in Internet Explorer when you use the Back command to navigate back to Web sites in your navigation history, but nothing happens when you double-click the Privacy icon. Cookies may or may not have been saved on your computer.
CAUSE
This behavior can occur if you use the Back command to navigate back from a Web site on which cookies were restricted to a previously visited "file://" resource (for example, "C:" or "servershare") or to an XML file, and then back to previously visited Web sites on which cookies may or may not have been restricted.
RESOLUTION
To work around this issue, quit and restart Internet Explorer.
News source: KB Article @ Microsoft
