In tip 5130 » How can I manage Internet Explorer Security Zones via the registry I mentioned that the 'My Computer (zone is) NOT available in the Zone box of the Security tab'.

To add My Computer to the Security tab under Tools / Internet Options, change the Flags Value Name at
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0, a REG_DWORD data type, from decimal 33 (32 + 1) to decimal 71 (64 + 4 + 2 + 1), per:

Data value     Meaning
    1 Allow changes to custom settings.
    2 Allow users to add Web sites to this zone.
    4 Require HTTPS Web sites.
    8 Include Web sites that bypass the proxy server.
    16 Include Web sites not listed in other zones.
    32 Do NOT show security zone in Internet Properties.
    64 Show the Requires Server Verification dialog.
    128 UNCs are treated as Intranet connections.

To perform this task, use REG.EXE, built into Windows XP, Windows Server 2003, and later operating systems, or installed from the Windows 2000 Support Tools:

1. Open a CMD.EXE window.

2. Type REG ADD "HKCU\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0" /V Flags / T REG_DWORD /F /D 71 and press Enter.

3. Shutdown and restart your computer.