How do I enable ActiveX controls for Internet Explorer/Windows XP Service Pack 2?
In Internet Explorer:

• On the Tools menu, click Internet Options.
• Select the Security tab
• Make sure that the Internet content zone is selected and click Custom Level.
• Set Run ActiveX controls and plug-ins to Enable.
• Set Script ActiveX controls marked safe for scripting to Enable.
• Click OK.
• Close all the instence of Internet Explorer and re-open it.

Click here for more information on ActiveX control.