via IEBlog, it's the first Exploring IE column: The Local Intranet Zone and Proxies: The Surprising Connection, by everyone's favourite fiddler, Eric Lawrence. It's well worth a read - if I had a dollar for every time I'd had to explain how a site was determined to be in/out of the Local Intranet Zone, I'd have about seven bucks by now*.
I'd like to see an article explaining general proxy configuration, but if there's something you'd like to see in the series, go hit up the link at the bottom of the article.
For a basic overview of the security zones, there's this classic KB article. If there's one thing to remember, it's this: dots in the URL, you're under the Internet Zone's Spell. (OK, so that phrase is completely counterintuitive and contrived, but remembering being annoyed by the phrase might help you remember the important part). Maybe!