We need to setup a trusted site on the server that will apply to all users who rdp into the server. I am look for a way to do this more systematically then require each user to set it up.
One way to do this would be to build a login script that updates the registry. They key you are looking for is at: (see kb182569)
It is easy enough to script this with a visual basic script.
Like Zoredache said, you should really split this into 2 questions. That said, Group Policy is your solution for the first question. Specifically User Configuration - Policies - Windows Settings - Internet Explorer Maintenance - Security Zones and Content Ratings. Using this policy basically allows you to import the settings of the Security and Privacy settings on your local machine and apply them to computers who get the policy. Trusted Sites is in the Security section. Keep in mind, this will overwrite whatever settings are there already.