I never use internet explorer when testing a file locally. I always just open the swf file on my desktop, and test it there. Or I hit Ctrl + Enter within my flash file and test it there. But if I do want to see it in a browser I test it in firefox, until it has been uploaded to the internet. But you can test the flash file within internet explorer you just have to click the stupid yellow bar that appears at the top of the screen and click allow.

Hope this helped, let me know if you have any other questions!!