Trusted site difference

We have some identical computers at my work running Windows XP and
I.E. 8. We need to connect to a Web site for our work that runs an
Active-X control. When we go there the first time, we get the little
gold bar at the top of the page the web page asking us if we trust
that site. We click it and select the option to run it.

But one computer stopped being able to access that site with IE since
yesterday. It gets that gold bar, but it doesn't give the option to
trust the site. I went to my computer and screen printed all of my
Internet Options for security, and compared these to his computer - I
don't see anything different.

Maybe I need to delete some file, if I knew where it was.

Why doesn't his Active-X work the way mine does? How do we get past
this blockage?