This should only occur when you are testing things locally.
If it annoys you too much , you can configure IE to always allow blocked content, like so:
From Internet Explorer, select the Tools menu, then the Options.
In the Internet Options dialog, select the Advanced tab.
Scroll down until you see the Security options.
Enable the checkbox "Allow active content to run in files on My Computer".
Close the dialog, and quit Internet Explorer.
The changes will take effect the next time you start IE.