I'm creating html help files for my application (using robohelp). The resulting files always cause IE 6 SP2 to generate the yellow bar with the restricted active content message.
If the html files were on a web server then I believe it is relatively simple to modify the security to allow the files to view.
However, the files are stored on the local harddisk for each user of the software. So far no one has a workaround for this. So everytime a file is opened you have to click on the yellow bar and then select "Allow blocked content...". Then you have to click a "show" link at the top of the page and then the proper robohelp frames with the contents and search/index buttons appear.
This is not very convenient - luckily most of our customers are not using SP2 yet.