It sounds like your ActiveX settings are set to "Prompt". You can either change the settings to "Enable" which will make your computer LESS SECURE and vulnerable to every hijacker on the net....., or you can change the settings to "Disable" which will stop ActiveX from running, stop the ActiveX warnings, make your computer MORE SECURE and most of the time, you won't notice the change. The settings can be found from Internet Explorer by clicking on "Tools" in the upper left, choose "Internet Options", then click on the "Security" tab, click once on the Internet icon (the world globe) to highlight it, then click on the "Custom Level" button. "Download Signed ActiveX Controls" and "Run ActiveX Controls and Plug-ins" are the settings which are probably set to "Prompt" currently.
Which e-mail program? If you're using Outlook Express/Outlook, you should be able to stop the ActiveX warnings and make the e-mail safer by changing your settings to the "Restricted Sites" zone like this:
Open Outlook Express, click on "Tools" in the upper left, choose "Options". When that loads, click on the "Security" tab. Make sure the "Restricted Sites Zone" option is selected, then click on "Apply", then OK.
Hope this helps.