Click to Run an ActiveX Control on This Webpage Message
Microsoft is changing the way Internet Explorer handles ActiveX controls because of a lawsuit with Eolas Technologies. Eolas Technologies was 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 or use another web browser such as Mozilla Firefox which is free to download from their site. Many people prefer Firefox over Internet Explorer because it tends to be less buggy and not crash as often.
Here is how you get around having this dialog box popup.