jdMorgan - 3:56 am on Oct 26, 2010 (gmt 0)
This is the setting under Control Panel->Internet Options->Advanced->Security "Allow active content to run in files on My Computer".
As far as I can recall, this has been the behavior ever since the information bar came into existence (with MSIE 6?).
Is it possible that you've done an update (or anything) which could have reset the Internet Options Security settings to default recently?
I rarely run into this problem as I have a different browser set as my default browser. So when I have to test locally with IE, I just confirm the information bar warning and go on.