Keep in mind that pop-up blockers, antivirus software, and software firewalls can all make registry changes that directly affect Internet Explorer security settings. My suggestion is to do the simplest thing first (reset your Internet Options security settings to default) and see if that fixes the active X problem.
(1) Click the "Tools" tab on your browser and select "Internet Options".
(2) In the "Internet Options" dialog box click on the "Security" tab and you'll see four icons (Internet, Local intranet, Trusted sites, and Restricted sites).
(3) Click on one icon to "highlight" it, click the "Default Level" button, then click the "Apply" button. Do this for all four icons.
(4) When you're done, click on "OK" to apply the default settings and close the dialog box.
If you continue to get the active X warning after you've rebooted, you'll probably need to adjust settings in your pop-up, antivirus, or firewall software.