How to disable favorites import export?

I am working on locking down Internet Explorer and have already made some
progress. However, there is still one thing that I cannot do. I would like
to disable the ability to import and export favorites under the file menu of
the Internet Explorer.

I have tried the following registry key but it did not seem to work. I am
running Windows 2000 SP4 with the latest update on IE6.


HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet
Explorer\DisableImportExportFavorites
Data Type : DWORD = 00000001


Anyone has done it successfully?

Joe