ActiveX

Well, since you didn't say where this is occurring, I'll make a couple assumptions and say... The site where you get the warnings is probably drawing its content from multiple locations (different host websites) some of which are not in your trusted zone. This is often the case with banners and other forms of Ads that appear on many webpages. Since some aren't in your trusted zone, you get the warnings because you are blocking the ActiveX executions.

Now, you probably don't want to put these other sites in the trusted zone unless you know for sure that they can be trusted. The fact that you are getting ActiveX warnings for what is probably Ads or banners (an assumption again) is concerning. Simple Ads don't need ActiveX to display, although sometimes it is used simply to trigger a Flash item, still it could also be much more malicious spyware.

In any case, you need to look at the site in detail (use the View Source option in your browser) and see what other sites are being accessed to determine what to do next. If they are Ad based sites rather than adding them to your trusted zone, I'd add them to your Hosts file to block the Ad site entirely which should prevent those ActiveX warning messages from coming up at all.