Internet Options:
- Advanced tab
- Allow active content to run files on my computer - Remove checkmark
Restart Internet Exployer
NOTE: This is the same as going to
HKEY_CURRENT_USER\Software\Microsoft\InternetExplorer\Main\FeatureControl\FEATURE_LOCALMACHINE_LOCKDOWN]"iexplore.exe"=dword:00000000
and setting the value to "1".