Macro security

Hi,

Currently I have Excel 2003 on XP operating system.

In the past, before migrating to this advanced version, I had macro security
set to MEDIUM whereby everytime I open a spreadsheet that contains macros the
Excel software prompts me if I would like to enable or disable the macros.

With the migration to Excel 2003, I cannot seem to re-establish this
setting. I tried via TOOLS - OPTIONS - SECURITY and I also tried via TOOLS -
MACRO - MACRO SECURITY.

But via both means, after setting the security to MEDIUM, i close .xls and
re-open it using a workbook containing macros and there is absolutely no
prompt. On re-verifying the option settings I discover that it has switched
back to LOW.

How can I permanently re-establish this setting?