Definitely an annoyance, isn’t it? This turns out to be a bug in Internet Explorer 6. You can read the admission in the Microsoft KnowledgeBase
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There are workarounds. They’re not horrible, but they can be a little involved. This question came up on experts exchange, and a couple of approaches are detailed there. It really depends on how important the feature is to you, and how comfortable you are following the workaround steps.
Personally, I live with it, since “View”, “Status Bar” is a two-click solution for those cases when I care.