Have you tried adding it to the registry?
HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Restrictions
In the right pane, add the DWORD NoBrowserContextMenu and set it to 1.
HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Restrictions
In the right pane, add the DWORD NoBrowserContextMenu and set it to 1.