It's not possible to turn off that warning. Many people have looked for a way to disable it, but that warning box is hard coded into one another DLL used by IE. If you've put sites in the Trusted sites zone and you're still seeing the warning, that likely indicates that the sites you're visiting are pulling content from multiple sources. In other words, you visit
www.site.com, but that site is displaying banner ads or Flash ads from other sources. You can put site.com in your Trusted sites zone, but any ActiveX controls being pulled from other sources will still fall in the Internet zone (or the Restricted zone, if you've put scam-artists.com in that zone). A "Mixed" zone icon in the bottom right-hand corner of the IE window is a good tip-off that this is happening.
A way to "reduce" the number of times it appears is:
Open Internet Explorer.
Click on Tools / Internet Options.
Click on the Security tab.
Click on the Custom level button.
Under Reset Custom Settings, select Medium.
Click the Reset button
Put all the sites you use into the Trusted Zone.