I've just tried it but can't get it to work as they suggest, perhaps as IE is not my main browser?
I believe you'll get the same result if you open IE & click the "Tools" gear (top right) then "Manage Add-ons".
Now click "Tracking Protection" in the box on the left of the window that appears, then click "Get a tracking protection list online".
That seems to lead to the page shown by the link above, from where you can pick the list(s) you wish to add.
Just in case it doesn't or I've explained badly, that page is here -
http://www.iegallery.com/en-us/trackingprotectionlists
HTH