Thanks to IBElite.com for this one. You actually have a 5th, hidden, security zone in your IE6 Internet Options -> Security -> Zones known as "My Computer".
Yep, you can protect yourself from your own system. It's normally kept hidden on purpose because the average user doesn't need to lock down their system THAT tight. But if you're a regular here, you're not that average. One other possible reason (just a guess) is that it might help stop the spread of trojans and bad ActiveX controls.
Browse to: HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionInternetSettingsZones