If you have SDHelper configured to ask whether to deny/allow a URL and set it to remember the decision, it seems that the data is stored in C:\Documents and Settings\All Users\Application Data\Spybot - Search & Destroy\Excludes
Is there a UI to edit these files or the user is supposed to edit them directly?
EDIT: I'm referring in particular to IEWhite.sbe and IEBlack.sbe and the rest of the .sbe files in that directory.