Angel, this is a very annoying message indeed.

In Access 2003, you can go to TOOLS > MACRO > SECURITY. On the Security Level tab, select LOW (not recommended). This will bypass the message. Make sure you don't run any Access databases from untrusted sources.

In Access 2007, you have to set up a TRUSTED folder. You can do this on your Desktop or anywhere on your PC. Click on OFFICE BUTTON > Access Options > Trust Center > Trust Center Settings > Trusted Locations. Click the Add New Location button and specify a folder on your system. Now any databases run from this location are TRUSTED and you won't be prompted for macro security.

I'm going to copy this answer to my Blog too, because I get asked it A LOT.