This article describes how and where Internet Explorer security zones and privacy settings are stored and managed in the registry. You can use Group Policy or the Microsoft Internet Explorer Administration Kit (IEAK) to set security zones and privacy settings. If you are using Group Policy or IEAK on a Microsoft Windows 2000-based computer, you may have to install several hotfixes to set security zones and privacy settings.

Details: http://support.microsoft.com/kb/182569/en-us?spid=2073&sid=global