"Tools", "Internet Options", "Security" tab, "Custom level..."
Select "Medium". Click "Reset".
Change the settings to look like this,
Click "OK", then "OK" again.
Close Internet Explorer. Some of the new settings will be reset by IE. Don't worry the ones you need will stay changed.
Restart IE. Enter an About website URL.
This is the main site for the problem.
The site should open without the warning because the Flash on the site should now be working.
Unfortunately, this will not always work for IE8. However, It will always work for IE9 Beta.
Installing Adobe Macromedia Shockwave Player for Mozilla Firefox
Installing Adobe Macromedia Shockwave Player for Internet Explorer
Installing Macromedia Adobe Flash Player for Internet Explorer
Installing Macromedia Adobe Flash Player for Mozilla Firefox
Installing a Program to Run SWF Files
Disabling UAC for a Program