How can I turn off the activeX warnings on Internet Explorer

I disabled all my activeX functions in the security section of my internet explorer options to prevent spyware. Now whenever I read the news on yahoonews I always get a message saying something like ‘your current security settings prohibit running ActiveX controls on this page, as a result this page may not display correctly’. How do I turn off this message so I won’t get it again, it happens everytime I open a new window in yahoo news.