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Information bar appears when you open PDF files locally in Internet Explorer (Windows XP SP2)?

When you open a .PDF file locally in Internet Explorer using any of the following methods, Information bar may appear telling that Internet Explorer has restricted active content from running in your computer.

This is caused by the Local Machine Zone restrictions in Windows XP Service Pack 2. (Local Machine Lockdown).SP2 restricts running active content (such as scripts, ActiveX controls in the My Computer Zone) for the pages stored and accessed locally. To enable active content to run in the My Computer zone, read this article fully:

Allow active content to run in files on My Computer - Windows XP Service Pack 2

More Information, and another workaround - Tweak the Lockdown template

For Security reasons, the following option should be used only in valid cases only. Revert the setting back once you accomplish your task. Using this method, you can have the "Allow active content  to run in file on my computer" option unchecked and still be able to open .PDF files locally in Internet Explorer window locally.

This can be accomplished by tweaking the Lockdown_Zones template and allowing 1200 (ActiveX controls and plugins) to run on the Local machine zone.

Value 1200 corresponds to Run ActiveX controls and plug-ins
Description of Internet Explorer security zones registry entries

Open Registry Editor and navigate to:

HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Internet Settings \ Lockdown_Zones \ 0

-and-

HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Internet Settings \ Zones \ 0

First, take a backup of the key if you want to undo the changes back. In both the keys above, double-click the value 1200 in the right-pane, and set it to 0

NOTE: If the Security_HKLM_only is enabled via Group Policy Editor or registry, you need to modify the corresponding "1200" values in the HKEY_LOCAL_MACHINE hive.