When trying to add sites to security zones in Internet Explorer in the following location:

Tools | Internet Options| Security tab | <Zone> | Sites

You may get the following message:

You have entered an invalid wildcard sequence:

Examples of valid patterns:
*://*.microsoft.com
http://*.microsoft.co.jp
ftp://157.54.23.41/
file:\\localsrv\share
*://157.54.100-200.*

Examples of invalid patterns:
http://microsoft.*.com
ftp://*

This can be caused by the HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap key being missing.

Create this key to resolve the issue. e.g.

REG ADD "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap"

Problems Adding Top-Level Domains to Zone Sites List
http://support.microsoft.com/kb/259493

Internet Explorer security zones registry entries for advanced users
http://support.microsoft.com/kb/182569

Active Server Pages returns VBScript runtime error '800a01ad'
http://support.microsoft.com/kb/194801