You actually have a 5th, hidden, security zone in your IE6 Internet Options->Security->Zones know as "My Computer". Yep, you can protect yourself from your own system. It's normally kept hidden on purpose because the average user doesn't need to lock down their system THAT tight. But if you're a regular here, you're not that average. One other possible reason (just a guess) is that it might help stop the spread of trojans and bad ActiveX controls.
"Flags"=dword: 0X00000021 (33) ---default
"Flags"=dword: 0X00000001 (1)
Now reboot or logoff and back on. My Computer should now be visible in the IE Security Zones selection.