When you're searching binging for how to add or remove websites to/from IE's security zones you'll find tons of samples all showing how to achieve this by creating and deleting registry keys. While doing so will probably work just fine in most scenarios...

Many posts have been written about how to debug problems with issuing HTTP requests from Silverlight applications, particularly in the context of web services and WCF (see for example Debugging Web Service Usage in Silverlight 2 or Faults and Exceptions...