I got a web site using jQuery, jQuery Tools and some handcrafted JS running performing graphical enhancements. While it's running smooth on FF, Safari and Chrome, IE blocks the script execution :
There is nothing particularly more dangerous on this code than, let's say, on Netvibes.
Why is even talking about activeX ? I'm using JS.
And how can I prevent that ? I don't want my user to click on "I allow this website" to work. It would be like putting a big red absolute DIV reading "Live quick and never come back".
As Ken Browning said in a comment to your question, this alert happens with javascript when on a High Security Zone, where local pages are.
If someone has the Internet as a High Security Zone, then the warning will pop up.
You can add localhost to the Trusted Sites Zone.