Connection and Domain Questions

[Daniel M.]

I have an ASP page that contains OWC Pivot table that takes the information
from SQL Server, what I would like to know is if the client machine makes a
direct connection to the database or if the IIS Server creates the page
(with data) and then transfer the results to the client (in this second case
I guess that the ASP is the one who made the connection).

At the end what happen is that I receive a message telling me that I am
going to access data to another domain. How can I resolve this problem
without going user by user typing the domain in the security section of IE6.

Thanks in advice.