If you are on a network, it is possible that your System Administrator set the option in the policy rules to deny you access to the option. Otherwise, it may be malware that has infected your computer and disabled the option so that you can't delete the hidden files it uses, either a rootkit or a virus.
If you are not on a network, I would suggest posting a hijack log in the hijack forums
. If you are on a network, see your sysadmin and ask if the policy can be changed.
If you post a hijack log, read this first.
And be patient because there are a lot of logs and few helpers. Do not reply to your own posts because the hijack team looks for posts with no replies.