Speed, are you running it local? I ave sp2 and default settings, and ALL my local pages, when not served by my IIS or Apache, give you the warning.
This is on purpose for sp2, so that local macros and virus cannot execute as easily.
I will upload my copy of that, and we can see it 'live'.
Again, all my scripts, when run locally without a server (html only, of course, no php) give the block, but on my site, or with my server running 'localhost/scriptPage.html', it is fine.
I'll be back, will upload to: