Blocking a URL with Group Policy

I tried to do this but ran into issues with the install. I followed the directions the best that I understand. I saved it to the C director (MS was not specific as where they wanted it saved) I kept receiving no directory found. I was surprised that I didn't have to unzip it, or save it in the windows directory. In the command line there is reference to %WINDIR% so I wasn't sure if that's why it couldn't be found. So, I'm still stuck.

1.Click the Download button on this page to start the download.
2.Save the ZIP to a directory on your computer.
3.From an elevated command prompt, use the following command to update the inetres.admx file:
•copy /y %WINDIR%\KB2841134\inetres.admx %SYSTEMROOT%\PolicyDefinitions\inetres.admx