completely offtopic. NT question

["Nixon\(MLS\)" <mbjp57@xxxxxxxxxxxxxx>]

Sometime when I click on a link in a webpage I get the following error "This
page provides potentially unsafe information to an activeX control.  Your
current security settings prohibit running controls in this manner.  As a
result, this page may not display correctly"

How do I change my security settings?
Am I exposing myself to danger (...Will Robinson)  by doing so?

thanks

Philip