This is due to the following reason (from a Microsoft website):
In this case the "small program/script" displaying the separate window (prompt dialog) is iMacros, and since you are the creator/user of the macro I would assume you trust your own macro and would want to always allow this pop-up dialog to be displayed:Internet Explorer has blocked a website from using a small program (called a script) to display a separate window. Hackers sometimes use scripted windows to mimic legitimate windows, such as login screens, that appear on websites. If you trust the website and want to allow the scripted window, click the Information Bar, and then click Temporarily Allow Scripted Windows.
To always allow scripted windows, check the 'Allow websites to prompt for information using scripted windows' custom security setting.