"Every time I visit the web page"
Because I don't think this does disable the cache in IE - in fact I don't think you can completely disable the cache in IE?!
I think this setting does literally what it says... it "Checks for newer versions of stored pages every time I visit the webpage". It could check for a newer version by requesting just the headers...
ETag, perhaps the reported file size etc. without downloading the file. If, by these checks, IE does not think the page has changed then the cached page will be used.
From this KB article... How Internet Explorer cache settings affect Web browsing:
Every visit to the page: When you return to a page you viewed
previously, Internet Explorer should
check to see whether the page changed
since you last viewed it. If the page
has changed, Internet Explorer
displays the new page and stores it in
the Temporary Internet Files. Note
that selecting this option can slow
down browsing between pages you have