The easiest way I know to prevent users from altering Internet Options, both from
Control Panel and from the Internet Explorer Tools menu, is to remove the users permissions
on %SystemRoot%\System32\Inetcpl.cpl.
To do this from the command line:
echo y|cacls %SystemRoot%\system32\inetcpl.cpl /T /G system:F administrators:F
NOTE: See tip 3811.