Annoying message when using ActiveX Objects

I've created a JS script in an HTML page that opens a local application (for example windows Explorer). For this I use an ActiveX Object (var WshShell = new ActiveXObject("wscript.shell"). I kno that the browser setting need to be adapted in order to use the Object. But the annoying problem is that windows still pops-up a message if I want to allow to the interaction.

Is there a way to terminate this message?

Kind regards,
Erik

P.S. this is the function I use:

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This is the function:
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<script type="text/javascript">
function startProg(myPath)
{
var WshShell = new ActiveXObject("wscript.shell");
WshShell.Run("\""+myPath);
}
</script>

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This is the link that uses the function:
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<a href="#" onClick="startProg('C:\\Program Files\\Internet Explorer\\iexplore.exe')">erik</a>
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