This policy setting controls the first-run response that the user sees on a zone-by-zone basis. When the user encounters a new control that has not previously run in Internet Explorer he or she may be prompted to approve the control. This policy setting determines whether the user is prompted.If you enable this policy setting the first-run prompt is turned off in the corresponding zone.If you disable this policy setting the first-run prompt is turned on in the corresponding zone.If you do not configure this policy setting the first-run prompt is turned off by default.
Windows Components\Internet Explorer\Internet Control Panel\Security Page\Internet Zone
At least Internet Explorer 7.0