Install Adobe plug-ins?

I have:

- IE 8.

- Windows XP.

- Adove Flash Player 10 ActiveX.?( This is all that it shows for Adobe Flash Player under ''Add or Remove Programs'')

Two questions:

- How do I install the Adobe plug-ins?

- How do I stop from constantly getting the message: ''Do you want to allow software such as Active-X controls or plug-ins to run?''. Just about every time I go to a site this message appears. Worse, often when I go to see a movie, this message appears 4-5, or more, times before the movie starts. This happens ALL the time.

Thanks for your help.