Redback,
Policies are best deployed through GPOs if AD or .POL files if not. IEAK is the best way to do IE deployment and corresponding policies.

That said, if you insist on using SU, when the user logs on, their user hive gets loaded. This, of course is governed by many things. See the FAQ
Sequence of events during logon
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Give a man a fish and he will be back for more. Slap him with a fish and he will go away forever.