Yes you can delete these through the registry, this is a known problem. Delete only the part in bold When you have done that rerun Spybot and they will have gone.
HKEY_USERS\S-1-5-18\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0\1004!=W=3
HKEY_USERS\S-1-5-21-638971174-2304659736-1445258045-1003\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0\1004!=W=3
HKEY_USERS\S-1-5-20\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0\1004!=W=3
HKEY_USERS\S-1-5-19\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0\1004!=W=3
HKEY_USERS\.DEFAULT\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0\1004!=W=3
General