This message is displayed in Internet Explorer due to Microsoft's security restrictions that only apply to local files. If you view the same file on-line you should not have any problems whatsoever.
If you want to disable this warning for local files in your computer, please go to:
Tools -> Internet Options -> Advanced -> Security -> Allow active content to run in files on My Computer
In the rare case that you still see the message on-line, please report back immediately so that we can look into this further (and please include a link to the on-line page for us to see).
