I've just come across a problem when installing the Microsoft Script Debugger in IE7 on Vista.
It installs fine, but as soon as I restart IE the browser hangs. I then had to kill the IE task.
At this point an 'Internet Explorer Security' error popup appeared:
I then clicked 'Allow'. However, upon restarting IE it hung again.
Very frustrating until I realised the simple solution. All you have to do is run the browser, let it hang and then kill it. When the above popup appears, tick the box which says 'Do not show me the warning for this program again' and then click 'Allow'.
Now, when you start IE it will start fine without the hang and debugging working perfectly.
Annoying that this is the way to get it to work but at least there is a workaround.
I am running Vista x64 Ultimate for what it's worth.