The security zone doesn't matter, because windows users can determine themselves which protocols are handled by which zone. E.g., I added the entire http and the entire https zone to the trusted sites zone (zone 2). This is done through the key
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\ProtocolDefaults
You can check for the document.protocol through javascript, but how is this going to help you?
if (document.protocol == "HTTP (HyperText Transfer-Protokoll)")
You assume it's internet zone, but on my computer it's the trusted zone complete with its own individual security settings. It sux that jscript won't allow you to get the individual security setting values for each zone.
It is possible to execute activex objects without that stupid yellow bar, but you need to add the com objects guids to the list of safe com objects. This is done through the registry. Default is unsafe for most objects with the exception of some stupid useless crap objects like flash activex, wmp activex and stuff