This is due to a recent change of windows update from MS:
The change was included in a recent Windows update because of a patent infringement lawsuit between Eolas Technologies and the Regents of the University of California v. Microsoft. Because of this lawsuit, Microsoft is changing the way Internet Explorer handles ActiveX controls. These changes will be in Internet Explorer 7. However, to allow developers a chance to change their code. The change was included in the April Security update (KB912812).
This is why you are receiving the following prompt when visiting some ActiveX web pages.
How to Correct this Problem
1) Download the following Compatibility Patch to revert the IE Active X Control Behavior
2) Install it and reboot your computer
3) Try the webpage you were receiving the prompt on
This should fix the issue for the time being, however when IE 7 is released this prompt will appear on web pages that have not changed the way they handle ActiveX components.