From How Spybot-S&D protects against the installation of Spyware/Malware:Permanent Internet Explorer immunity
The permanent immunity works on some Internet Explorer control options that are partly visible in the Internet Explorer interface, partly hidden in the registry only. It adds domains known to contain bad contents into the Restricted Zone, thus blocking installation of executable code from those pages; it also adds block options for bad executable code by its ID, and it sets known tracking cookies to not be accepted by Internet Explorer.
To cut it short: it modifies Internet Explorer, through official ways, to block a lot of the bad stuff known to Spybot-S&D.
The first level of protection is immunization (a passive protection). When you “Immunize”, entries are added to the system Registry. This blocks cookies from some sites, places other sites in the restricted zone and blocks the download/execution of selected ActiveX scripts. If you are interested in learning how this type of blocking works, see Note #1 below. Also Note: If you use Spybot S&D and other products like IE-SPYAD, SpywareBlaster, etc. together, there is an overlap of some of the protection offered. If you undo or disable the protection in one product, it may remove some of the protection installed by the other. You should re-immunize or re-enable the protection in the other products as appropriate.
Note #1:
Microsoft Knowledge Base Article – 182569
Description of Internet Explorer security zones registry entries
http://support.microsoft.com/default.aspx?kbid=182569
Microsoft Knowledge Base Article - 240797
How to Stop an ActiveX Control from Running in Internet Explorer
http://support.microsoft.com/default.aspx?kbid=240797