In Internet Explorer 6, 7 or 8, "Tools" is a menu at the top of the screen:
In Internet Explorer 9 and higher, "Tools" is found by clicking the gear icon on the right-hand side of the browser window:
In Internet Explorer 6, 7 or 8, "Internet Options" is the bottom menu item:
In Internet Explorer 9 and higher, "Internet Options" is the second-last option:
The window which has just appeared will have a tab labled "Security"; please click it:
Because you are changing an important setting, Internet Explorer will prompt you to confirm that you really want to do this. Press the "Yes" button to confirm this change.
You are now returned to the original "Internet Options" window. Press the "OK" button to close it and return to your normal web browsing.