I have seen this before, the user was using C:Program FilesInternet Exploreriexplore.exe on 64 bit machine. The users was switching between 32 and 64 bit machines.

Recommend using environment variable PROCESSOR_ARCHITECTURE to see if system is 64 bit.
If 64 bit use:
- C:Program FilesInternet Exploreriexplore.exe
if not 64 bit use:
- C:Program FilesInternet Explorer (x86)iexplore.exe

This might be one of the reason:

- Ensure that you haven't opened Internet Explorer before accessing QTP/UFT.
- If you have opened IE prior to UFT/QTP then objects would identifies as Windows Object.
- First close opened IE and then open UFT/QTP tool. Then open IE, if spy objects automatically would get identifies.