Import/Export of Internet Explorer Security settings

These settings are only stored in the registry, most likely in the following key:
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]

1. To gain access to the registry, click Start|Run, type regedit, and click Enter.
2. Choose File|Export and choose "All" in the Export Range section, saving the file as "Backup.reg".
3. Navigate to the above mentioned key.
4. You'll want to export (Right-click->Export) the following keys from here:
   • ZoneMap
   • Zones
5. You could probably save them as "ZoneMap.reg" and "Zones.reg", respectively.
6. Upon exporting these keys, copy the REG files to the other computer.
7. Once completed, you'll want to open the registry and create a backup as on the first machine (Steps 1 & 2).
8. Close the Registry Editor.
9. Double-click "ZoneMap.reg" and "Zones.reg", one-at-a-time, clicking Yes in the prompt that appears.
10. If you mess anything up, just double-click the "Backup.reg" file you created earlier and click Yes in the prompt.

You can use "ZoneMap.reg" and "Zones.reg" on as many machines as you need to, just remember to create new copies whenever you need to change anything. 

The following link is to a Microsoft KB article with more information:
http://support.microsoft.com/kb/182569