Re-enabling security zone configuration via Registry
At one client, I need this because the default security zones didn't allow ActiveX controls, but I wanted to be able to run HP QualityCenter (which requires ActiveX).
I changed the following keys to 0 (zero):
HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings\Security_HKLM_only HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings\Security_options_edit
After doing this, the dialog worked again.
Here are two useful references: