Microsoft Knowledge Base Article 301689 contains the following summary:

Custom privacy preferences can be imported into Internet Explorer by clicking Import on the Privacy tab of Internet Options and opening an Internet Explorer Privacy Preferences (.xml) file. This article describes how to restore the default Internet Explorer privacy settings after you import custom settings for the Internet, Local intranet, or Trusted sites zones.

For information about the Extensible Markup Language (XML) syntax for Internet Explorer Privacy Preferences (.xml) files, please see the following Microsoft Web site:

http://msdn.microsoft.com/workshop/security/privacy/overview/privacyimportxml.asp

For additional information about the default Internet Explorer privacy settings, click the article number belowto view the article in the Microsoft Knowledge Base:

293222 The Default Privacy Settings for Internet Explorer 6