If you do that, I think it bitches at you that because of your security settings, the page may not display properly. It's a different dialog box, but it's still a box to deal with. Yet another reason to stop using IE... Microsoft managed to make a "locked down" browser so annoying to use that you're pretty much forced to re-enable some options just to keep from going insane.
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Parenthetical remarks (however relevant) are (usually) unnecessary.
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