I just posted the new version of CR_Documentor, version 2.1.0.0, over at Google Code. This new one hosts a tiny internal web server (instead of manually poking things into the IE DOM) so as long as you can get to localhost, you should be able to see the preview without that nasty warning. I also fixed the focus issue so it shouldn't steal focus when the preview refreshes.
If you upgraded before and are ready for a fix, go get it!