Scripts Web Design?

My Friend rather new to web design and when he run page in IE I get the pop-up, "To help protect you security, Internet Explorer has restricted this webpage from running scripts or ActiveX controls that could access your computer." What could be causing this? But he visit one site Web Design Companyhere he get no. of articles for this problem, really it is a professional site, but he tell me I want more site for this issue. because I can't figure out what it's blocking. Any help or suggestions would be very helpful.

I will take a wild guess and say he has an activeX component or a component that relies on activeX embedded in the page.

Is there by any chance a big gaping hole where content should be?
You can click ok to run the activex if its a trusted site, but your friend should really find out what is causing the issue with his code ;)