It sets the security value for a zone in IE, in this case the "Internet" zone.
i.e IE8...Tools...Internet Options...Security...Internet...Security Level for this zone.
e.g 11000 is equivalent to Medium level.
When I log on it's at custom level (which in the registry is equivalent to 0).
I change the registry level to something other than 0, but when I restart the computer, its gone back to 0 (and the display in the Security tab is custom).