“IE Zone Comparer” was designed to provide additional visibility into URLMon's security zone settings.  Pick any two collections of security zone settings, and IE Zone Comparer displays the values of those settings, highlighting any differences between the two collections.

Note: Updated on 11/7/2009 to offer details on "Effective" policy.

http://blogs.technet.com/fdcc/archive/2009/11/07/viewing-and-comparing-ie-security-zone-settings-enhanced.aspx