This warning indicates that your local security settings are too strict.
Please note that this warning is usually only displayed for local preview, it will not be shown when you have published your website to a server.
To change your local security settings follow these steps:
1) In IE select Menu->Tools->Internet Options->Security->Local Intranet
2) Disable the warnings you do not want to be displayed.
3) In IE select Menu->Tools->Internet Options->Advanced->Security->Allow activate content to run in files on my computer.
This will disbale the warning for local preview.
Note that this warning will only be displayed for local preview.
Usually it does work ok once the page is been published to the web!
Or you can enabled the following option in WWB: Tools->Options->Publish & Preview->Disable IE security warning.