How to manually disable ActiveX Filtering in IE9?

I used Internet Explorer 9 and when visiting a website with web ads, I always received a pop up message that says “Some content is filtered on this site” with a button below to Turn off ActiveX Filtering. I am running Windows 7 64-bit PC. When clicking on the button to turn off the filtering, I did not see any effects on doing it. What can I do to manually disable the ActiveX Filtering? I need help. Thanks.

Some content is filtered on this site
Use the button below to configure filtering options.
Turn off ActiveX Filtering
