This policy setting allows you to manage the loading of XPS files. These files contain a fixed-layout representation of paginated content and are portable across platforms devices and applications.If you enable this policy setting and set the drop-down box to Enable XPS files are automatically loaded inside Internet Explorer. The user cannot change this behavior. If you set the drop-down box to Prompt the user is prompted for loading XPS files.If you disable this policy setting XPS files are not loaded inside Internet Explorer. The user cannot change this behavior.If you do not configure this policy setting the user can decide whether to load XPS files inside Internet Explorer.
Windows Components\Internet Explorer\Internet Control Panel\Security Page\Locked-Down Intranet Zone
At least Internet Explorer 7.0