How to disable this anoying

How to disable this anoying function of Windows XP pro ?

Whenever open an html page using IE,
It always shows:
“To help protect your security. IE has restricted this file from showing
... Click here for option”.

I have to click and Allow Blocked Content every time.
I did following the “help” àTools àPop-up Blocker à Turn off
But it keeps showing up again and again.

Please help me on this.
Thanks.