Web guru's help me pleeb

Building a site using First Page 2006 and flash 8. When I look at the website in Firefox, it displays just fine. I take my jump drive to another computer an try to load it up on IE and it says there is Active X content in there and nothing displays. WTFIGOH?

Please help...I'm in a crunch.

The message at the top:
To help protect your security, Internet Explorer has restricted this file fromshowing active content that could access your computer. Click here for options.

I guess I should add that the header and buttons I made for navigation I used photoshop 7 and sliced it up, and exported images in html. then opened it up in first page 2k6 to do the editing.

Does first page add something in the code that IE doesn't like???