Downloading abode flash player

Hello,
How Come When ever i want to download an adobe or any flash players,(it says something was suppose to pop up like a golden bar) and a information bar pops up saying my security settings dont allow activeX or something. I REALLY WANT TO WATCH YOUTUBE!! and my brothers want to play games :( plz help

Theres another question how come when i want to choose that location thinggy liike checking for options a yellow bar pops up saying "Pop-up Blocked. To see this pop-up or additional options..."??