Security Setting in IE and Alert

Hi, does anyone knows how i can get rid of this Alert i get always when accessing nearly every page that has java script or java when i have turned it default off.

"Your current security settings prohibit running ActiveX controls on this page. As a result, the page may not display correctly."

i get that also on tomshardware as i have all disabled, activex, java and script. now i dont care if it doesnt display correctly and i dont want to press always ok.

anyone knows where in the registry or wherever that alert can be turned off?
would be very helpful