Internet Explorer protected mode error
Just to add to the already correct answers, if setting all values the same is not an option, (Need security disabled is some zones, but want to keep security enabled in others) you can also initialize your driver with the overload that includes InternetExplorerOptions, and use
new InternetExplorerOptions() { IntroduceInstabilityByIgnoringProtectedModeSettings = true}
You need to set the Protected Mode settings for each zone to be the same value.Read: http://code.google.com/p/selenium/wiki/InternetExplorerDriver#Required_Configuration