It sounds like you have some sort of scripting such as Javascript or a reference to an ActiveX control included with the HTML and IE is set to not allow the scripting or downloading ActiveX controls. Plain HTML would not return this message.
You could:
Remove any scripting if it is not required for the page's functionality, for instance if you are re-purposing code and have unnecessary stuff left over from the original implementation.
or
Set IE to allow scripts to run if you really need functionality not available with the HTML code alone. The link below describes some options for setting IE 8 to do what you want.
http://windows.microsoft.com/en-gb/windows-vista/Internet-Explorer-8-Information-bar-frequently-asked-questions