I have the answer:
To completely disable the ActiveX warnings:
1) Run regedit.exe (WinKey+R)
2) Goto HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\0
3) Modify key 1201 = 0
If key 1201 doesn't exist, create it:
Right-click the right pane -> New DWORD (32-bit) Value -> name it 1201.
4) Close and restart MediaMonkey.
Thanks anyway
