Any idea how do I do the following using C#?
Tools -> Internet Options -> SecuritySecurity ta
You aren't supposed to do this "programmatically". That's why there isn't an API for it. Only the user can change their security settings, and they do it using the built-in interface that you've already discovered.
The poor IE team has been working overtime trying to tighten up the security of their browser. They're not going to throw in something like this that would nullify all of their efforts in a matter of seconds.
Recall that even once this option is selected, there's a confirmation dialog presented. How do you propose to "click" that programmatically? (Hmm, on second thought, don't tell me. That's probably the next question you'll be asking.)
Give up on trying to do this programmatically, and ask the user to do it themselves. Provide a complete help file or other documentation that explains why you're requesting that they make this change, what features will be unavailable if they do not choose to make this change, and what the possible security risks of making such a change are. And, of course, specific instructions on how the change is made.
Or, better yet, redesign your app so that it doesn't require a system-wide modification of IE's security settings. It's hard to imagine a legitimate case for this. A better solution might be asking the user to add your site to their "trusted sites". Remember that local pages have different security settings than remote pages by default.