I had the same problem, I found these and they helped. I was untable to get it to work with just registering urlmon.dll, I had to go all the way to actxproxy.dll before mine started working again.
Here is what I found that helped me, I will also attach the txt file.
CAUSE
This behavior may occur for any of the following reasons:
The (Default) value setting in one or more of the following registry keys points to an incorrect location for the Urlmon.dll file:
[HKEY_CLASSES_ROOT\CLSID\{79eac9e0-baf9-11ce-8c82-00aa004ba90b}\InprocServer32]
[HKEY_CLASSES_ROOT\CLSID\{79eac9f1-baf9-11ce-8c82-00aa004ba90b}\InprocServer32]
[HKEY_CLASSES_ROOT\CLSID\{79eac9f2-baf9-11ce-8c82-00aa004ba90b}\InprocServer32]
This may occur if you install a customized version of Internet Explorer that was created with the Internet Explorer Administration Kit (IEAK) version 5.01 Service Pack 1 (SP1), 5.5 SP1, or 6.0.
The following registry key is missing or damaged:
HKLM\SOFTWARE\Classes\Interface\{00020400-0000-0000-C000-000000000046}
One or more of the following files is missing, damaged, or improperly registered:
Url.dll
Mshtml.dll
Actxprxy.dll
Oleaut32.dll
Shell32.dll
Shdocvw.dll
RESOLUTION
To resolve this problem in Internet Explorer, follow these steps:
Quit all programs that are running.
Click Start, and then click Run.
Type regsvr32 urlmon.dll, and then click OK.
When you receive the "DllRegisterServer in urlmon.dll succeeded" message, click OK.
If this does not resolve the problem, repeat steps 2 through 4 for each of the following files (in step 3, replace Urlmon.dll with each of the file names below):
Shdocvw.dll
Msjava.dll
Actxprxy.dll
Oleaut32.dll
Mshtml.dll
Browseui.dll
Shell32.dll (Windows XP and Windows 2000 only)
If the problem is still not resolved, verify that the following registry values are present and correct:
HKLM\SOFTWARE\Classes\Interface\{00020400-0000-0000-C000-000000000046}
Name: (Default)
Value: IDispatch
HKLM\SOFTWARE\Classes\Interface\{00020400-0000-0000-C000-000000000046}\ProxyStubClsid
Name: (Default)
Value: {00020420-0000-0000-C000-000000000046}
HKLM\SOFTWARE\Classes\Interface\{00020400-0000-0000-C000-000000000046}\ProxyStubClsid32
Name: (Default)
Value: {00020420-0000-0000-C000-000000000046}