IE7 is much more secure by default than previous versions. It SHOULD pop up a message when it blocks something and allow you to specify the future behaviour, but perhaps not always. I use Firefox and it tells me what it's doing, and it's much easier to configure the security options.
To anyone considering installing IE7, I recommend waiting awhile and reading the reports of problems that are uncovered over the next few weeks. I would expect a fix for it within a month to make it work better (or correctly).