You will need to change a setting within the Options dialog box. It can be found on the Open and Save tab under the ObjectARX Applications section in the lower right quadrant of the dialog box. More specifically, uncheck the "Show Proxy Information dialog box".
This is also adjusted with the PROXYNOTICE system variable. It is most likely set to 1. Change it to 0 to disable the display of the proxy information dialog box. You should only have to do this one time on each machine you work on as this is a registry based setting.