Thanks to people at Annoyances.org, Short Media, Ozzu Webmaster forums for the answer to my question.
To disable IE's active content warning, go to Internet Options>Advanced Tab, under Security section enable option "Allow active content to run in files on my computer". This will stop the warning when previewing web pages from Dreamweaver and Imageready, or other programs where your page has script for rollovers etc. This is not, however, a recommendation to leave this option enabled while surfing the net. Use your own judgement.