ActiveX is a controller used in Internet Explorer. It is often used to install malware (spyware) on your computer. If you're on a trusted webpage like Microsoft's and attempting to update, then it is a good idea to allow this activity. If you're getting this all the time, then you probably already have spyware on your computer.
Do not despair! First, download Firefox. Using this, you'll never have to deal with ActiveX again. Google "Firefox" and download it. Now. Got it? Good, then continue to remove the spyware.
Using Firefox, google "Adaware" and download the software you find. Install it and run it. Update the software. Run a sweep/check on your computer and remove the spyware.
If you have problems with this, let me know and I'll try to help you further.
Ryeguy, January 2009