Internet Explorer must be configured to use machine settings.

Users who change their Internet Explorer security settings could enable the execution of dangerous types of code from the Internet and web sites listed in the Restricted Sites zone in the browser. This setting enforces consistent security zone settings to all users of the computer. Security zones control browser behavior at various web sites and it is desirable to maintain a consistent policy for all users of a machine. This policy setting affects how security zone changes apply to different users. If you enable this policy setting, changes that one user makes to a security zone will apply to all users of that computer. If this policy setting is disabled or not configured, users of the same computer are allowed to establish their own security zone settings.