When you use a new account to log onto a Windows Server 2003 using a remote desktop connection, and Internet Explorer is configured to automatically start, you cannot add any Web site to a security zone.
This behavior occurs because the initialization processes that run the first time you logon locally are not completed when your first logon uses a remote desktop connection.
To resolve this problem:
1. Log onto the Windows Server 2003 locally.
2. Open a CMD.EXE window.
3. Type ie4uinit.exe and press Enter.