activeX controls

I have a user that is using a file that links to PDFs on a cd rom, when the user clicks on one of the pdf links IE launched and trys to open the PDF file but then stops and gives the error message ” This page provides potentially unsafe information to an actives control. your current security settings prohibit running controls in this manner. as a result this page may not display correctly” I have reset all the activex controls and upgrade to IE 6. the OS is nt for with service pack 6a. the pdf will open if you on to the cd and open them str8 threw adobe.

Any ideas?