Theres nothing wrong with the HIGH setting - the problem stems from an issue between a recent Microsoft security patch and ZA.
ZA is currently advising that the patch be uninstalled until a fix is sorted.
To uninstall the patch (it is KB951748 ) ...
Go to Add/Remove Programs in the Control Panel.
Make sure there is a tick in the box to show the Updates (at the top of the window).
Locate KB951748 and remove it.
ZA Internet Zone security can be set to High again.