FSX has a security feature will forces you to manually approve certain aircraft gauges before it can be loaded.
You need to click YES every time. It won’t be taking you back to the first security warning, it will be asking you to allow the next gauge. You should notice the file name (e.g. Captain_Sim.c120.icons.GAU) changes each time.
Once all of the gauges have been approved, you will not be asked to do this again.