java and activex problems

How do I fix this? I am sure it is related to the MS suggested security 
settings.

I have posted this in the microsoft.public newsgroups without any response.

When I click on a link where copy shortcut = javascript:void(0), nothing
happens and when I past the link into the address box and click on go -
nothing happens. The 'javascript:void(0)'  just won't execute.

Obviously this is due to some security setting recommended by M$.

I have my security setting (as suggested by MS) set so that the warning:
'your security setting do not allow web sites to use activex controls
installed on your computer...' appears when I open a web site window.

Clicking on this banner does not give the option of allowing THAT site to
use the activex controls - what settings will allow a happy medium?

There are some sited I trust (most I do not) so I would like the choice.

BTW I think that at some time I would get this warning and clicking on the
banner would allow me the choice of run activex or not.

This has happened on several sites.

Is there some setting which will protect my computer from bad things
executing and being able to click on java and javascript and activex
routines?