The "Use SmartScreen Filter" current user setting should be configured correctly for the Locked-Down Local Machine Zone.
enabled/disabled
User Configuration\Administrative Templates\Windows Components\Internet Explorer\Internet Control Panel\Security Page\Locked-Down Local Machine Zone\Use SmartScreen Filter
HKEY_CURRENT_USER\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings\Lockdown_Zones\0
Microsoft Tool: Security Compliance Manager (SCM)
Microsoft Baseline: Internet Explorer 8
SCM URL: http://go.microsoft.com/fwlink/?LinkId=113940
Microsoft Security Compliance Manager (SCM) Baselines and Settings Packs
Microsoft