Tools --> Internet Options --> Security Tab --> "Custom Level" button
Make sure "Internet" zone is selected on the Security Tab before hitting the Custom Level button.
Now scroll down a bit, you should see a range of options for things IE can do with Active X controls. Check that "Download Unsigned Active X Controls" is set to "Enable" or "Prompt", not "Disable". Scroll down a little further and check whether "Run Active X Controls and plug-ins" is set to "Enable" or "Prompt".
Have you tried this?
Download the file OLEfix.zip available here (it is a registry file that origin from MS Support, and it has fixed the ActiveX problem for several people):
http://patch-info.de/IE/Downloads/OLEfix.zip
Extract it and double click the contained OLEfix.reg file. Click Yes
on the dialog box that asks you if you are sure to add the information
in OLEfix.reg to the registry.
You may have to reboot your machine afterwards.