If you set the security to Mid you will be asked if you trust the source of the spreadsheet. only if you set the security to low will the messages regarding the macros be ignored. However, I don't recommend this unless you are on a standalone pc and have no exposure to the outside world.
What can also happen is that if you recieve a spreadsheet where the security was set to high, this can override your previous settings. To resolve this problem, open the spreadsheet change your security to mid, then save the spreadsheet again. Next time your work is opened it will have the saved security settings.
Cheers
Matthew
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