What did you find when reviewing the user-configurable options in your
unidentified version of Internet Explorer?
Internet Options -> Security tab -> pick a security zone -> Custom
Did you look under the "ActiveX controls and plug-ins" section?
Disable = Show the yellow infobar to alert the user.
Enable = Show a dialog box instead to alert the user.
If you don't want to see any alerts about a site that wants you to use or
install an AX control then you'll have to disable scripting in IE. That
means losing a lot of functionality and a vast number of web sites.