How can I tell what the website is trying to do? Is it trying to download a file, install an ActiveX control, activate an existing ActiveX control, etc. The "Information" bar doesn't seem to provide a whole lot of information.
The site might not be doing anything at all. I have built a site that uses no ActiveX controls that displays this issue.
If you are using IE8 (and maybe IE7) and the site uses jquery 1.3.2 (and maybe other versions) then you might see this behavior.
Aside: The fix is shown here: http://dev.jquery.com/changeset/6268.
Try the same web site with another browser like Firefox or Chrome, if the bar drops down then stay away from the website. However sometimes the non-IE browser is detected by the script and it does not execute. Usually this is via the User-Agent being detected. You can bypass this trick in Firefox by using Chris Pederick's User Agent Switcher