This is what the code would look like in a batch file(tested, works):
powershell -Command "& {set-location 'HKCU:\Software\Microsoft\Windows\CurrentVersion\Internet Settings'; set-location ZoneMap\Domains; new-item SERVERNAME; set-location SERVERNAME; new-itemproperty . -Name http -Value 2 -Type DWORD;}"
Based on the information from: