IE ESC (Internet Explorer Enhanced Security Configuration) is more than likely the culprit for the inablity to change the security settings in Internet Explorer.  To disable IE ESC please follow the steps below.

Note:  We also recommend downloading and installing a different browser (i.e., Firefox, Chrome, Opera, etc.) to bypass this restriction in Internet Explorer.

Windows Server 2003
1. Log into your Server
2. Click on Start -> Control Panel -> Add or Remove Programs.
3. Click on Add/Remove Windows Components on the left side of the window.
4. Uncheck "Internet Explorer Enhanced Security Configuration."
5. Click Next and allow the Wizard to complete.
6. Click Finish. And close out the window.
7. Restart Internet Explorer.

Windows Server 2008
1. Log into your server.
2. Open Server Manager by clicking on the icon to the right of the Start button or by clicking Start -> Administrative Tools -> Server Manager.
3. In the right pane under Security Information click on "Configure IE ESC" (You will find this link on the far right of this pane).
4. Select "off" for Administrators and/or Users.  We recommend that you select "off" for Administrators only.
5. Click OK.
6. Restart Internet Explorer.

Change the security settings in Internet Explorer