If your DEP option is disabled (greyed out) in IE Settings, you haven't opened IE in "Administrator mode". Note that the DEP option is not listed in IE Settings if you are specifically running the Internet Explorer 64-bit version listed in Start | Programs.
Even if your User Account is an Administrator, Vista runs every program as a "normal/non-admin user" for additional security. I'm pretty sure that this additional security measure is independent of the User Account Control (UAC) setting that you use. I don't believe that there is anyway to diable this security feature. The only way (TMK) to specifically run a Program in "Administrator mode" is to right-click the icon or executable and select "Run as administrator". If you create a shortcut to a program and you always want to run the program in "administrator-mode" you can enable this by right-clicking the shortcut | Properties | Shortcut Tab | Advanced Button and click "Run as Administrator".
So, to disable DEP in IE, you must right-click the IE icon and select "Run as administrator".
*** Note that when you are installing programs you should always run the Setup or Install program in administrator-mode ***
HTH!