IE 5.01 Security controls grayed out

I have several users whose Internet Explorer Security Zone controls are grayed out. We are an NT 4.0 shop with IE 5.01 as our exclusive browser. I have searched MS Knowlegebase feverishly for a solution to this problem. So far, re-installing IE or upgrading to v5.5 doesn’t work and the user has local admin rights to the PC. Is there a registry setting that can be manipulated to gain access to these controls?