To do this you will need to go into the group policy editor.
Start > Run type gpedit.msc hit enter.
In the left pane expand "User Configuration" > "Administrative Templates" > "Windows Components" > "Internet Explorer" and click on "Browser Options".
In the right pane look for "Tools menu: Disable Internet options....menu option" double click it and check the enable box and click OK. Your internet options should now be disabled.