What is the EXACT text in the IE warning window?
Most likely this one Egg:

Click image for larger version.  Name: activexwarning.png  Views: 293  Size: 3.0 KB  ID: 53937

It's likey wanting to install the add-on to display the swf components. the ActiveX control wanring is giving the user the option to reject the installation of add-ons installed using ActiveX.

As for disabling ActiveX, you can easily do that using the Security tab in Tools | Internet Options. Simply select each zone, and set all of the ActiveX options to Disable.

Better still, don't use IE