Try reading these and see if anything helps:

Info Bar warning
Rename the html page from .HTM or .HTML to .HTA
http://www.microsoft.com/technet/prodtechnol/winxppro/maintain/sp2brows.mspx#EIAA
or
Insert the "Mark-of-the-web"
http://msdn2.microsoft.com/en-us/library/ms537628.aspx

...Alan
--
Alan Edwards, MS MVP Windows - Internet Explorer
http://dts-l.com/index.htm

On Tue, 22 Apr 2008 13:05:01 -0700, in
microsoft.public.internetexplorer.security, WHoit

I found the answer here:
http://www.ccsd.net/swecs/techref/documents/5CCC77BED1636036712BB66739A931100DD3
5CF6.html

If the link does not work for you, the short answer is this:
In IE go to Tools>InternetOptions>Advanced tab
Scroll to Security Settings, and check the "Allow active content..." options.

I have a similar question, how to I prevent the info bar from appearing when
a normal website wants' to download an Active X extension?

And please, turning active X on by default, IS NOT A SOLUTION, I need to
goto some websites that will attempt to download some not nice active X
carp, that I don't need.  I'd prefer that IE just silently dropped the
Active X requests, instead of showing the info bar, and it taking the PC
window focus.

So to that end, I'm looking for a solution that completely prevents the info
bar appearing in the first place, but does so without activating Active X
for every frelling website on the planet.