Permission to store info

When I open a video from my e-mail home page, half the time I get a white square on top of the video that says someone wants "permission to store information on your computer.  Up to 10KB."  Within than is a place to check Allow or Deny.  When I click either allow or Deny, nothing happens - I still can't see all of the video and I can't get rid of the square.  I guess I took my computer to the wrong repair shop because they couldn't get rid of it.  Does anyone know?  Thank you