IE6 Cannot get rid of information bar

On some sites e.g http://downloads.guru3d.com/ the information bar appears
with aping sound. The yellow shield is displayed with test that Active X has
been disabled for some sites so the page may not display properly. Clicking
the "options" in the bar only brings up a help dialog which just explains
what the bar is and how to disable it but following the procedure does not
disable it.

How can I get rid of it. (I do intend to move to IE 7, but not until it is
out of beta as the latter forces all my Favorites to run using MSN Explorer)

Any help gratefully received.
--
Uncle John