When I create a module and run it, I have to allow blocked content on IE to run activex components.
However when I execute modules from courselab.com website I do not get this message. How do I make my modules run without showing the IE blocked content message?

It's actually the java components, you just get a catch all message that usually tells you a scipt ot activex component want to run on the page.
You need to change the security settings that IE is using.
From the drop down menu .. Tools.. Internet Options.. Advanced tab go down to the block for security and tick to allow active content to run from CD or file as you need.
Close IE and then reopen the module and it should just run with no warning messages.

Where the content is delivered from an LMS this is usually less of a problem but can still occasionally occur.
Ifd you do deliver content to p[eople using CD or USB then they may also get this problem. It might be worth changing the launch web page so there is a block of text telling people that:
1. The content is clean and they should allow scripts to run. 'If you see a warning asking if scripts or active x components are allowed to run on these pages please click on allow'.
2. You might want to tell them how to stop the message appearing by changing their own scurity settings.