WHy?我做得Flash不能display在IE?

I use SWiSHmax to make a small flash, saved it as *.swf and *.html format files, but when I click html format file, the IE display the info like the following:
TO help protect your security, Internet Ex0plorer has restricted this file from showing active content that could access your computer. Click here for..

When I click here, there is small window pop out, and if I select "yes", my flash could play as normal.

Somebody could give me suggestion about this ?

Thank you very much