GPO stopping 'Open' being an option for internet files (Only Save/Save As/Cancel)

[Garacesh]

Internet Explorer 11 only allows Save, Save As and Cancel. I'm perfectly OK with this in concept for security reasons but I think it may be causing problems with files from the intranet, so I want to temporarily enable it for one member of staff, just to test..

 

But for the life of me I can't find anything that even vaguely resembles "Don't allow files to Open from the internet"*, "Disable Opening files from the internet"*, or any words to that effect.

(* Those aren't policies I've found on line that other people say ought to exist, just how I would imagine the policy title being written.)