NO - read the bit I copied frm the MS site, thats NOT what its for. All it does is stop the execution of programs from the zone over the internet
You can use Internet Zone rules to apply software restriction policy rules based on the Microsoft Internet Explorer security zone in which the program is run. Currently, these rules apply only to Microsoft Windows Installer packages that are run from the zone. Internet Zone rules do not apply to programs that are downloaded by Internet Explorer.
It does not stop you accessing the site - just running programs FROM the site on your machine.