IE security settings, trusted sites

I use XP SP2 updated regularly and now have a problem with the IE6 security settings for files on my computer.
I have a website where I use simple javascripts for closing windows, going back, check your answer etc. No problem, I put it into trusted zones and all my pages open without any warning pop-ups. Not so on my computer:
It drives me crazy, I want to check my work, on my computer, unconnected to the Internet, and up pops the message that Big Brother has blocked active controls that could damage my computer.
I tried to get my files into the trusted zone, but am told that I can't do this, can't do that, but am NOT told how to get my own work accepted as innocuous by my own computer.
Would someone please tell me how to add files on my computer to the trusted zone and get rid of those "I know what's best for you messages "?
Don't tell me to change my security settings, I tried that, but BB won't have it, they keep reverting back to standard.
Thanks in advance
Roncy

 

Thank you PeteC for your very interesting information. Interesting because I thought I had dealt with the advanced options when I first set up my Windows XP. The 2 options you point out do in fact exist in IE6, but only with SP2 installed. Once checked IE behaves the way it should, even without restarting first.
I'd been using an elderly laptop with wireless broadband via PCMCIA card to go on-line and therefore never bothered to install Service pack 2 on my desktop till now, when I've finally got wireless broadband via USB. And that's when the bother started and I looked everywhere except in the right place. Thanks again for pointing the right way.
Roncy