A friend at Microsoft told me about this jewel. To create an extra zone in IE you can hand edit the registry or just download and run this reg file. All you do is download it then double click on the file and it will install itself at which point if you exit and restart IE you should see a 5th security zone under the options/security tab.
If you want to hand edit the registry, the correct location is:
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet
Settings\Zones\1000]
@=""
"DisplayName"="Internet with Cookies"
"Description"="This zone contains all Web sites you haven't placed in other zones"
"Icon"="inetcpl.cpl#001313"
"CurrentLevel"=dword:00000000
"MinLevel"=dword:00011000
"RecommendedLevel"=dword:00011000
"Flags"=dword:00000003
"1001"=dword:00000001
"1004"=dword:00000003
"1200"=dword:00000000
"1201"=dword:00000003
"1400"=dword:00000000
"1402"=dword:00000000
"1405"=dword:00000000
"1406"=dword:00000001
"1407"=dword:00000000
"1601"=dword:00000101
"1604"=dword:00000000
"1605"=dword:00000000
"1606"=dword:00000000
"1607"=dword:00000000
"1800"=dword:00000001
"1802"=dword:00000000
"1803"=dword:00000000
"1804"=dword:00000001
"1805"=dword:00000001
"1A00"=dword:00020000
"1A02"=dword:00000000
"1A03"=dword:00000000
"1C00"=dword:00010000
"1E05"=dword:00020000
BTW, the Outlook 2000 setting is at
HKCU\Software\Microsoft\Office\9.0\Outlook\Options\General.