I (we) wrote some custom policy templates for this. You can either use these templates with GPO's ... or use the Kixtart WriteValue registry function to poke them directly ... here's the template for the USER INTRANET zone. To poke the INTERNET zone, just change the key as detailed below. If you need assistance using WriteValue, don't hesitate to ask.

Intranet
KEYNAME "Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\1"

Internet
KEYNAME "Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\3"

Code:

 CATEGORY "Internet Explorer"

  CATEGORY "Zone Settings"
  CATEGORY "Intranet Zone"

  KEYNAME "Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\1"

  POLICY "Run components not signed with Authenticode"
  VALUENAME "2004"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Run components signed with Authenticode"
  VALUENAME "2001"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Download signed ActiveX controls"
  VALUENAME "1001"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Download unsigned ActiveX controls"
  VALUENAME "1004"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Initialize and script ActiveX controls not marked as safe"
  VALUENAME "1201"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Run ActiveX controls and plugins"
  VALUENAME "1200"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Script ActiveX controls marked safe for scripting"
  VALUENAME "1405"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "File download"
  VALUENAME "1803"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Font download"
  VALUENAME "1604"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Microsoft VM Java permissions"
  PART "Java permissions" DROPDOWNLIST 
  VALUENAME "1C00"
  ITEMLIST
   NAME "Medium safety" VALUE NUMERIC 131072
   NAME "Low safety" VALUE NUMERIC 196608
   NAME "High safety" VALUE NUMERIC 65536
   NAME "Disable Java" VALUE NUMERIC 0
   ; NAME "Custom" VALUE NUMERIC 8388608
  END ITEMLIST
  END PART
  END POLICY

  POLICY "Access data sources across domains"
  VALUENAME "1406"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Allow META REFRESH"
  VALUENAME "1608"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Display mixed content"
  VALUENAME "1609"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Don't prompt for client certificate selection when no certificate exists"
  VALUENAME "1A04"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Drag and drop or copy and paste files"
  VALUENAME "1802"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Installation of desktop items"
  VALUENAME "1800"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Launching applications and files in an IFRAME"
  VALUENAME "1804"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Navigate sub-frames accross different domains"
  VALUENAME "1607"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Software channel permissions"
  PART "Channel permissions" DROPDOWNLIST 
  VALUENAME "1E05"
  ITEMLIST
   NAME "Medium safety" VALUE NUMERIC 131072
   NAME "Low safety" VALUE NUMERIC 196608
   NAME "High safety" VALUE NUMERIC 65536
  END ITEMLIST
  END PART
  END POLICY

  POLICY "Submit non-encrypted form data"
  VALUENAME "1601"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Userdata persistence"
  VALUENAME "1606"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Active scripting"
  VALUENAME "1400"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Allow paste operations via script"
  VALUENAME "1407"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "Scripting of Java applets"
  VALUENAME "1402"
  VALUEOFF NUMERIC 3
  VALUEON NUMERIC 0
  END POLICY

  POLICY "User Authentication"
  PART "Security setting" DROPDOWNLIST 
  VALUENAME "1A00"
  ITEMLIST
   NAME "Automatic logon with current Username and Password" VALUE NUMERIC 0
   NAME "Automatic logon only in Intranet Zone" VALUE NUMERIC 131072
   NAME "Prompt for Username and Password" VALUE NUMERIC 65536
   NAME "Anonymous logon" VALUE NUMERIC 196608
  END ITEMLIST
  END PART
  END POLICY

  END CATEGORY ; Intranet Zone