Do you mean that yellow bar at the top of the window.
Tools > Internet Options ... > Advanced
Scroll down to Security
Switch on: Allow active content to run in files on My Computer
You may need to do the same for CD's.
IE is warning you about running scripts locally.
At least 98% of internet users' DNA is identical to that of chimpanzees
I'm sure there is some fix in the Script itself to avoid the block/error.
As of Windows XP SP2, there is a new security feature that applies to local content. As mentioned above, there is a user preference to turn it off. Script statements that execute automatically appear to trigger the warning. Global statements, for example, and I think <BODY ONLOAD="..."> will cause it, too.