Follow on from here:
http://community.spiceworks.com/topic/458009-do-you-want-to-make-ie-your-default-gpo
Turns out the GPO only applies to IE10 and above, and we're stuck on IE9. D'oh!
I'm using IT_Franks' suggestion and pushing out a registry key via Group Policy. I'm applying it to the computers' OU, with Loopback enabled on the users. The problem is, it doesn't seem to work. RSoP shows the key being applied, and there are no errors in the log, but the key does not change from 'yes' to 'no', and the users still get the popup. I've tried both the 'update' and 'replace' functions, and checking and unchecking 'run in user's security'.