I didn’t find a way to turn it off in the IE configuration and It seems one has to uninstall it: Go to Control Panel, then Add or Remove Programs, then click on Add/Remove Windows Components uncheck the Internet Explorer Enhanced Security Configuration and click on next.
For Windows Server 2008 Users
In Windows Server 2003, one has to uninstall the corresponding Windows Component. In Windows Server 2008, this doesn’t work anymore. You have to click on the root folder in Server Manager. Then you scroll down to the Security Information Section and click “Configure IE ESC”. You can turn off IE ESC for Administrators and/or for users. The latter probably only makes sense in a Terminal Server environment.