IE6 allow blocked content doesn't work

I am using TechRepublic's Fast Track trainig CD for SQL Server 2000. When I start a lesson I get the message "To protect your security, Internet Explorer has restricted this file from showing active content that could access your computer". When I select the option 'Allow blocked content' it doesn't do anything, i.e. the message still appears. How do I fix this? Do I need active content to display the lessons properly?