Oh yeah, in case you don't know how...right click on any flash, go to Settings. Then find the Local Storage tab and set it to something other than "Never"---I'd recommend 1 MB.
If you don't want to save any games you play on Newgrounds for some weird reason, then you can select "Never ask me again" and it won't save OR ask you automatically again. But it'd be your loss, and I hope you like playing Toss the Turtle from scratch every time you open it.
SlashFirestorm
LOL
That's YOUR fault, not Newgrounds. No, your friend never gotten a virus from Newgrounds, either. Change your flash settings to automatically accept this---it's required for certain games to save.