As far as I'm aware a specific group policy option doesn't exist, which means editing the registry directly using, for example, a login script (...referenced from a group policy)
The specific key is:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\2\Flags
or if you want to change the setting for specific users, then:
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\2\Flags
To work out what to set the Flag DWORD to we need to reference this kb article - http://support.microsoft.com/kb/182569 - which I'll paste verbatim
The Flags DWORD value determines the ability of the user to modify the security zone's properties. To determine the Flags value, add the numbers of the appropriate settings together. The following Flags values are available (decimal):
Value Setting