1. Start by launching Internet Explorer, then click the cogwheel in the right corner and choose Internet Options
2. Then click the Security tab and click on Trusted Sites, then choose Sites
3. Then enter the website in the text field which you want to allow running Java and ActiveX, then click Add. Be sure to uncheck Server Verification box. Then click close.
Now try to visit the website again, if all is well you should be able to play any file on the website,