Microsoft is varying the way Internet Explorer handles ActiveX controls as of a lawsuit with Eolas Technologies where they are suing Microsoft for infringement of patent for basic web browser technology that makes "plug-ins" and "applets" probable. Thus for now you must click OK every time you want to run an ActiveX control on a webpage.

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How you avoid having this dialog box popup is shown below.

1. Download Compatibility Patch to revert IE Active X Control Behavior

2. Install the patch

3. Restart PC

4. Attempt to access webpage that was giving you error again