Previously in Windows 2003, you may remove this IE Enhanced Security Configuration from Add/Remove program, but when you try to look into Windows 2008 Program and Features, it was missing from there... Can we still be able to disable this setting?
Yes, you still can. For Windows 2008, IE Enhanced Security Configuration setting is resided in Server Manager. After you launch server manager, at the right pane Server Summary page, under the Security Information panel, click on the Configure IE ESC link. After that, a windows will prompt out as below:
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Just edit the necessary setting and click on OK. Restart your IE browser, you will find all the security warning is missing, if you go to Internet Options -> Security tab, you will be able to tweak the security level for Internet zone. Last but not lease, please remain the original IE security settings for your production server. This is always the best recommendation from Microsoft.