Windows Security Warning when trying to run Macro

Hello,

I am trying to run a macro on my workbook (NBA Gamelog 2016 Query) and each time I run the query, it will stop on a Windows Security Warning screen (which I have attached the photo as well) each and every time the macro is running. It will eventually display my information for me, but it is a nuisance to see that message every time. I've gone through other threads and tried to reset my browser, change my security settings on Internet Explorer and Excel, as well as change Trust Settings on Internet Explorer and Excel and still get the same Windows Security Warning message.

This is the code that I am working with:

Please Login or Register  to view this content.

I run a similar macro on another workbook (MLB Batting Gamelog 2008 Query) and works fine without any issues.

I can't quite figure out why my one query file works fine and the other throws the Security Warning error each time I try to pull data.

Any help with this would be greatly appreciated. Thanks in advance.

May be this help you to play around options in IE
001.png
002.png
003.png