When in doubt, read the directions. I just experienced the same problem you have and cured it by reading the directions for installing "Admin.zip". I think we both missed steps 3 and 4.
Here they are:
"CONFIGURING UFT TO WORK WITH MICROSOFT INTERNET EXPLORER 5.0 Things to note before installing:
Configuring Ultimate Family Tree to work with Microsoft Internet Explorer version 5.0 is a three-step process. First, download the Admin.zip file to your hard drive. Next, unzip Admin.zip to your Ultimate Family Tree program directory (usually, this will be C:UFT). Then, edit the PD.INI file to tell Ultimate Family Tree to use Microsoft Internet Explorer version 5.0.
1.Download the Admin.zip file. Note the download location so you can unzip and install the update files once the download process is complete.
2.Unzip Admin.zip and choose to place the three files it contains: Admin.exe 5/26/99 Gotourl.exe 4/12/99 Pdftp.exe 5/25/99 into your current UFT directory. When asked, choose to replace the existing copies of Admin.exe and Pdftp.exe.
3.Edit the [Browser] section of your PD.INI so the Location= line points to your copy of Microsoft Internet Explorer. Use the DOS, 8.3 naming style for the path. For example, if your copy of Internet Explorer version 5.0 is located in C:Program FilesInternet ExplorerIexplore.exe, the entry in the PD.INI should be Location=C:Progra~1Intern~1Iexplore.EXE.
4.After saving your changes to the PD.INI, start Ultimate Family Tree. The items in your Online menu will now use Microsoft Internet Explorer version 5.0."