Allow active content

I am getting the following message on my computer when running some of my
pages that I am developing.

"To help protect your security, Internet Explorer has restricted this file
from showing active content that could access your computer. Click here for
options "

I went to:

Tools > Internet Options >Advanced > [TICK] Security Allow Active Content to
run in File on My Computer

It still doesn't stop it.

I have set all my zones to low.

What is causing this to happen? and how do I get rid of it.

These are files on my machine that I am writing.

Thanks,

Tom