As far as I know, there is no way to disable one selected menu option within the built-in options.
You can however, disable the whole context menu.
To do this, follow these simple instructions:
1. Open regedit or regedt32.
2. Browse to [HKEY_Current_User]\Software\Polices\Microsoft\Internet Explorer\Restrictions
** If you do not have ..\Internet Explorer\Restrictions, right click on Microsoft, click "New > String", name it 'Internet Explorer', right click 'Internet Explorer' and click "New > String", name it 'Restrictions'.
3. Check the bottom of you registry window to make sure that the path matches the path above.
4. Right click in the white space on the right side of the screen.
5. Choose "New > DWORD Value". Rename the DWORD Value to "NoBrowserContextMenu".
6. Double click the new DWORD Value and change the value to "1".
7. Close regedit or regedt32.
8. Restart IE and your right click should now be disabled.
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