It's in your IE security settings.
Tools>Internet Options>Security Tab.
With the "Internet Zone" selected, click the "Custom Level" Button.
Check these two settings:
1. Script ActiveX Controls not marked safe for scripting
2. Initialize and script ActiveX controls not marked as safe for scripting
Most likely #2 is set to "prompt".
To get rid of the message, change it to "enable"
Keep in mind it is a global setting and will apply to every site you visit.
You're better off just adding the site from which that image came to your trusted sites zone instead.
Or even better yet, if conveniently possible, save as an image file instead. (i.e. jpg, bmp, gif, etc).
Edited by HitSquad, 16 May 2006 - 06:34 AM.