Microsoft is changing the way Internet Explorer handles ActiveX controls because of a lawsuit with Eolas Technologies where they are suing Microsoft for infringement of patent for fundamental web browser technology that makes "plug-ins" and "applets" possible. So for now you have to click OK each time you want to run an ActiveX control on a webpage.
Here is how you get around having this dialog box popup.
1. Download the Compatibility Patch to revert the IE Active X Control Behavior
2. Install the patch
3. Reboot your computer
4. Try to access the webpage that was giving you the error again
