You want to configure Group Policy like so:
Navigate to
Computer Configuration\Administrative Templates\Windows Components\Internet Explorer\Internet Control Panel\Security Page >> Site to Zone Assignment List
The "Values" are as follows:
INTERNET EXPLORER GROUP POLICY ZONE NUMBER MAPPING Zone Number Zone Name 1 Intranet Zone 2 Trusted Sites zone 3 Internet zone 4 Restricted Sites zone
After configuration open CMD in Administrator mode and run the following:
gpupdate /force
Now reboot and test!
Sources:
https://community.spiceworks.com/topic/1182041-gpo-for-local-intranet-site
http://www.grouppolicy.biz/2010/03/how-to-use-group-policy-to-configure-internet-explorer-security-zone-sites/