I have just been to that site using Internet Explorer and I didn't see that particular prompt.
I wonder whether it could be related to an IE setting?
Why not check to see if an option is disabled which is found in Internet Options > Security > Custom level.
It is the 3rd option from the top called 'Active X controls and plug-ins'
On my PC that option is disabled as shown below:
If it's enabled on your PC then that could be why you see the prompt?
If so just tick the disabled option :)