IE security warning

It's not about ActiveWidgets itself but how it executes with recent IE updates. With default settings IE says '..restricted from showing active content...Click here...'. When click [Allow] it even worse (even I'm scaried myself) - '... active content might harm your computer'.

Is any way to create more 'user-friendly' message, which will appear if ActiveX is blocked or make it work without forcing each user change settings?