Trusted Applications Mode gives you better control as to which application you can safely run or install in your machine based on Kaspersky Whitelisting Service. This is particularly useful for those pop-up malware windows that look like real antivirus program and will prompt you to click Install.
Anti-Blocker will protect you against Trojans that restrict access to your system and demand money for the restriction to be lifted. These usually happens during drive-by downloads where you visit an infected site and will install a malware into your machine without your knowledge.
ZETA Shield is used to combat against zero-day exploits and targeted attacks. What Kaspersky does is scan the data stream for code fragments characteristic of exploits built into legitimate files. [source]
