You must have updated to SP2. It is only files run locally on your PC that are affected; pages from the Web run ok.
To get round the problem open Internet Explorer and go to Tools, Internet Options, Advanced tab. Scroll down the list to the Security section at the bottom and put a tick in the box for "Allow active content to run in files on My Computer". If you need to run webpages from CDs then tick "Allow active content from CDs to run on My Computer" also. Once you have done this of course it's your own resposibility to protect yourself from malicious active scripts.