HRESULT hr;
IInternetSecurityManager *psecman;
IInternetZoneManager *pzoneman;
LPCWSTR sitestr = SysAllocString(L"http://www.site.com");


hr = CoCreateInstance(CLSID_InternetSecurityManager, NULL, CLSCTX_INPROC_SERVER, IID_IInternetSecurityManager, (void**)&psecman);
psecman->SetZoneMapping((DWORD)2, sitestr, (DWORD)0); 
// 2 is Trusted Site
// sitestr is the site
// 0 is to create the entry.