Could someone explain me what does this statement mean and what option should I click when it pops up?
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Blender comes bundled with python. Malicious scripts written in python could potentially damage your computer. As a security measure the automatic running of python scripts has been disabled since version 2.6.
What this most likely means is that there is a piece of python code that is controlling the driver.
You can allow blender to auto run scripts by changing your user preferences. To do this press Ctrl + Alt + U, then head over to File and enable Auto Run Python Scripts. Although it is unlikely that someone will distribute a malicious blend file you should still make sure where you download .blend file from
More information on Scripting & Security at the official documentation.
By default Auto Run is disabled. It's a safety feature to prevent untrusted code to be executed. To enable it go to User Preferences Ctrl Alt U and in the File tab check the Auto Run Python Scripts box.