Add domains to the Per Site Privacy Actions page of the Privacy tab

To always allow or block regardless of privacy policy. 

Windows Registry Editor Version 5.00
 
// Always allow
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\P3P\History\domain.com]
@=dword:00000001
 
// Always block
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\P3P\History\domain.com]
@=dword:00000005