No menu after I disable lockdown

Just installed it. Everyting was ok, but after I disabled lockdown I've got no icons in start menu and Desktop.
Also when I press Alt+Shift+S nothing happens.
Windows 7

It is very likely that antivirus software is preventing Secure Lockdown from writing the Windows Registry. You either need to disable the antivirus software entirely, or configure it so that it allows Secure Lockdown to run at all times.