Unless you frequent pornographic sites, click on links in spam mail, or visit other sites run by unscrupulous characters, this security precaution is simply a big annoyance.
Once these security holes have been compromised, the browser manufacturer issues a security patch to cover the hole, preventing future use of the hack.
Of course, these integrity-impaired individuals are steadily working at finding and taking advantage of some other vulnerability to make them feel they have some power over you and me.
The security problems are by no means epidemic.
ActiveX is a Microsoft product that allows code to be run on your computer.
This is, potentially a very dangerous proposition.
An ActiveX program can do anything you do on your computer, and probably more.
The security in ActiveX involves what is called a digital signature.
The code must be written and signed by a trusted software developer in order to run.
This allows a fair degree of security, but cautions are recommended.
Internet Explorer allows several settings regarding ActiveX Controls.
To check or change these setting, go to Tools->Internet Options and select the Security tab near the top of the window.
You can simply set your Internet Security to "Medium" (or "High" if you feel overly cautious), or you can create a custom setting by selecting the [Custom Level] button.
In the Custom Level window (shown below), make sure "Download unsigned ActiveX controls" is disabled, or, at the very least, set to "Prompt".
If set to "Prompt", you will be notified when there is an unsigned control wanting to visit you and decide at that time whether you trust the site enough to let the control through your doorway.
Similarly, you can set "Prompt" for other settings and you are at least in control at all times.
Removing the Internet Explorer Toolbar Alert
To remove the Internet Explorer Toolbar Alert, go to Tools->Internet Options and select the Advanced tab near the top of the window.
Scroll down to the Security section, and select Allow active content to run in files on my computer.
ActiveX warnings will appear when necessary if you followed the suggestions on ActiveX above.
An Alternative to the Alert Bar
If you are stuck on Internet Explorer as the only browser you want to use, you're done.
Don't read any further.
That said, there are better browsers available at no cost that actually strive to comply with the Web standards that the world outside of Microsoft is working hard to achieve.
One of those Browsers is Firefox, which is available for download on my Home page.
There is a plug-in (an additional feature you can download) available for Firefox called "NoScript".
NoScript does the same thing as the Internet Explorer alert bar, with one very important exception - it remembers the sites you have allowed content on.
This means, once you have visited a site and accepted its content as okay, you will not be bugged by the code blocker on your subsequent visits to that site.
Of course, you can always take a site back off the list if you choose.
There are many other advantages to the Firefox browser.
For more information, check these sites: