If you're using Windows XP with service pack 2,you can enable ActiveX controls by following these instructions:

1. Click the Start menu, then Control Panel.
2. Double-click Internet Options.
3. Click the Security tab.
4. Click the Internet icon, then click the Custom Level button.
5. Make sure that ActiveX controls and plug-in settings are all set to 'Enable'.

If you are using an antivirus this could use an ActiveX shield which can provide real-time protection by blocking blacklisted, harmful applets, while allowing safe applets to run on your computer.

You could still receive the ActiveX message because you didn't disable the ActiveX shield of your antivirus.