Though the Security Zones GUI under Internet Properties only has four well defined “zones”, you can actually create your own custom zone pretty easily.  We had to do this for a customer that needed some very specific (wide-open) security settings for their site to work properly.  Rather than comprise the security of the other “Trusted Sites”, we created a new zone for the one specific site.  The easiest way to do this is by using the GUI to get all your settings just so (by editing one of the built-in zones).  Then, from the registry editor, export the edited zone’s registry key located under HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Lockdown_Zones.  The zones are numbered 0-4, but you can check the “DisplayName” entry to make sure you are exporting the right zone.  You can then edit the exported REG settings to increment the zone number by one, and change the “DisplayName”, “Description”, and “PMDisplayName” to whatever you want.  The “PMDisplayName” is what will show in the IE status bar when you visit the included site/sites.  Save your changes and import the modified zone REG file.