Hi pigtail,
The reason you are getting this message is that by default IE does not allow the creation of ActiveX objects that could be used maliciously on a clients machine.
People running your script would have to trust you enough to allow you to use these objects for your script to run, they would also have to use IE.
If you really want to do this, in IE go to Tools > Internet Options > Security > Custom Level & set the option "Initialize & Script ActiveX controls not marked as safe" to either enable (very dangerous) or prompt.
HTH,
Chris
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