Here is the solution (and I've been to every corner of the Internet in order to get this):
Fire up RegEdit
and go to this key:
HKEY_USERS\S-1-5-18\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones
On my machine (Windows 7) the Local System account is S-1-5-18
. This might be the same for all versions of Windows, but I don't know about that.
In that registry key, there are five more keys 1, 2, 3, 4 and 5 - each representing a Zone.
For every zone, if there is a DWORD value with the name "2500", set its value to 0 to turn protected mode off. Note that you don't have to add it if it isn't there.
The value "2500" is supposed to control the tick box "Enable protected mode".
UPDATE (from an anon user):
A graphical way of doing the same is to ensure the "Interactive Services Detection" service (UI0Detect) is running (note that Windows 8/2012 and later need the HKLM\SYSTEM\CurrentControlSet\Control\Windows\NoInteractiveServices
registry key to be set correctly in order for the popup to appear) get hold of psexec
and run
psexec -si 0 "C:\Program Files\Internet Explorer\iexplore.exe"
In the popup click on View the message, then after the screen switches in Internet Explorer go to Tools -> Internet options | Security and check the Security level for each zone.
Happy UI testing!