What you are seeing are the warnings that go along with the Internet Security Settings you have chosen (or have been chosen for you!) on your Internet Browser. As long as you know the site you are at doesnt put out malicious code, it's ok to allow the Direct X to run....if you dont know the site, it could cause a problem. You can CHANGE your browser's settings related to this topic by going into the "Tools" sect. in MS Explorer and "Preferences"(i think) on a Netscape browser.
When all else fails...start parts swapping!