"To help protect your security, Internet Explorer has restricted this web page from running scripts or ActiveX controls that could access your computer. Click here for options..."
It took me several minutes to find the hidden option that turns off this warning. First I looked for it in Security tab options but it was actually in Advanced tab. Here's how you find it:
1). Go to:
Tools > Internet Options > Advanced > Security
Allow active content to run in files on My computer
3). Restart IE