We don't have a clue how it happened, but this could be the problem?

Select Start/Run, type REGEDIT in the 'Open' box and press enter. When the Registry 
Editor opens, click 'Edit' on the toolbar and then 'Find'. Next in the 'Find what:' 
window, type NoFileMenu and press enter. If the entry is found, it will show 
in the right pane. Right click it and select 'Delete' from the menu, or select 'Modify' 
and change the value form '1' to '0'. You can also check the keys below, rather than 
using the 'Find' feature. 

NoFileMenu = enable/disable Explorer/IE File Menu 

Restrictions User Key:

HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Restrictions

Restrictions System Key:

HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Internet Explorer\Restrictions

Below are File Menu restrictions:

NoFileMenu = enable/disable Explorer/IE File Menu
NoFileOpen = enable/disable Open in File menu, Ctrl+O and Ctrl+L
NoFileNew = enable/disable New in File Menu and Ctrl+N