About Macromedia Flash Player Security Message

Hi...

Not sure if this post should go in Software or Programming, so appologies if this is in the wrong place.

I've downloaded some free flash games (.swf) from a well known site which I have put on my browser start-page (that is, links to them) and they play OK as such.
Problem is, when ever a game loads, I get the following message:

Macromedia Flash Player Security [X]

Macromedia Flash Player has stopped a potentially unsafe operation.

The following application on your computer or network:
Path, etc, etc, filename.swf

is trying to communicate with this Internet enabled location
Path, etc, etc, filename.htm

To let this application communicate with the Internet, clisk Settings.
You must restart the application after changing your settings.

[ OK ] [ Settings... ]

I find that I can just continue by simply closing this message down via the [X] box and then simply play the game, but it is still annoying. Why does this message appear, and is it generated by Windows or Macromedia Flash Player? This may seem a silly question, as it begins with 'Macromedia Flash Player Security', however it still could be Windows - I don't know... I used Dreamweaver MX to create my start-page, also by Macromedia - don't know if this is a factor?

All help appreciated