The temperature dependencies of the infrared absorption CO bands of carboxy complexes of horseradish peroxidase (HRP(CO)) in glycerol/water mixture at pH 6.0 and 9.3 are interpreted using the theory of optical absorption bandshape. The bands' anharmonic behavior is explained assuming that there is a higher-energy set of conformational substates (CSSh), which are populated upon heating and correspond to the protein substates with disordered water molecules in the heme pocket. Analysis of the second moments of the CO bands of the carboxy complexes of myoglobin (Mb(CO)) and hemoglobin (Hb(CO)), and of HRP(CO) with benzohydroxamic acid (HRP(CO)+BHA), shows that the low energy CSSh exists also in the open conformation of Mb(CO), where the heme pocket is spacious enough to accommodate a water molecule. In the HRP(CO)+BHA and closed conformations of Mb(CO) and Hb(CO), the heme pocket is packed with BHA and different amino acids, the CSSh has much higher energy and is hardly populated even at the highest temperatures. Therefore only motions of these amino acids contribute to the band broadening. These motions are linked to the protein surface and frozen in the glassy matrix, whereas in the liquid solvent they are harmonic. Thus the second moment of the CO band is temperature-independent in glass and is proportional to the temperature in liquid. The temperature dependence of the second moment of the CO peak of HRP(CO) in the trehalose glass exhibits linear coupling to an oscillator. This oscillator can be a moving water molecule locked in the heme pocket in the whole interval of temperatures or a trehalose molecule located in the heme pocket.