I ran into a weird problem today with a Windows Server 2003 SP2 server, where I could not add a site to the Trusted Sites zone. The error I got was, "There was an unexpected error with your zone settings. Unable to add this zone."
To fix the issue, enable Internet Explorer Enhance Security Configuration in Add/Remove Windows Components, add the desired site to the Trusted Sites zone, and then disable Internet Explorer Enhance Security Configuration again. That seems to fix the corruption in the Trusted Sites zone information. Future sites can then be added without issue.