First time I run any aircraft I got a message to “Run” or “Don't Run” by the Microsoft Security Alert System

This means some gauges are installing in FSX for the first time.

First time you use the aircraft you may be prompted to “Run” or “Don't Run” by the Microsoft Security Alert System, just ignore it and click “Run” to install the gauges. Then click on “Yes” in the next dialog window. Repeat this sequence every time that windows appear (this will depend on how many gauges has the aircraft).

This windows will only appear the first time you run the aircraft.