I am trying to apply some Group policy Settings for IE11.

I have downloaded the latest Admin Templates and copied the inetres.admx and inetres.adml files over to Policy Definitions folder.

When I create a new GPO under :-

User Configuration>Control Panel Settings> Internet Settings. 

When I attempted to click on New, I only saw options for

Internet Explorer  5 and 6

Internet Explorer  7

Internet Explorer  8  and 9

Internet Explorer  10

BUT not Internet Explorer 11

Can anyone advise where I am going wrong?

HI Simple answer is you wont see IE 11 mentioned, configure IE10 preferences to your liking which will affect IE11 also.

I agree with Alex, when you use GPP-IE10, it also applies to IE11.

https://support.microsoft.com/en-us/kb/2898604

http://blogs.msdn.com/b/askie/archive/2015/07/17/how-can-i-configure-proxy-autoconfigurl-setting-using-group-policy-preference-gpp-registry.aspx

Thanks for the clarification guys.

Just another quick question.

Under the Security tab for IE 10 Properties, I am unable to add website addresses as the Sites button is greyed out.

Will there be a reason for this?

If you are wanting to deliver Site-to-Zone mappings (e.g. place a particular website/URL pattern into a zone like Trusted Sites), these articles show how. GPP-Internet-Settings can't directly do the site-to-zone mappings, but you can do it with GPP-Registry).
This is how we are doing it here.

http://deployhappiness.com/managing-internet-explorer-trusted-sites-with-group-policy/

http://www.grouppolicy.biz/2012/07/how-to-configuring-ie-site-zone-mapping-using-group-policy-without-locking-out-the-user/

https://blog.thesysadmins.co.uk/group-policy-internet-explorer-security-zones.html

http://sysadminhell.blogspot.com.au/2014/03/zone-assignments-and-gpo-settings.html

older methods:
http://blogs.msdn.com/b/askie/archive/2012/06/05/how-to-configure-internet-explorer-security-zone-sites-using-group-polices.aspx

http://blogs.msdn.com/b/asiatech/archive/2013/01/04/how-to-add-trust-sites-into-ie-before-ie10-through-group-policy.aspx