In the dialog window "Internet Options" choose the [Security] tab.
The tabs are located in the upper area of this dialog (see figure).
Within the "Security" tab window please select the icon [Internet] (if not already preselected at open):
Now please click on button [Custom Level...] located in the bottom area of the same dialog window.
This action will pop-up a new dialog window "Security Settings" (see page 3).