The IE Info Bar Doesn't Serve Alcohol

My brother is at OCS in Missouri and called me last night with this problem. The Army gave him a DVD that includes some files that open in Internet Explorer too. Every time he navigates to a new page, the IE Information Bar pops up saying he needs to download an ActiveX control. He does so successfully, tries to navigate again and the same dumb thing comes up on every web page.

I had him change security settings like Disable for "Automatic prompting for ActiveX controls" and Disable for "Automatic prompting for file downloads".

Any other suggestions for me? He won't repeatedly go through a series of things in trial and error (he's too impatient), so please lay it all out on the line for me at once. He's a new butterbar, what else can you expect?