This warning will not display once the menu is on-line. To enable the menu locally, click the yellow bar above, and select "Allow Blocked Content".
To permanently enable active content locally...
1: Select 'Tools' --> 'Internet Options' from the IE menu.
2: Click the 'Advanced' tab.
3: Check the 2nd option under 'Security' in the tree (Allow active content to run in files on my computer.)