ActiveX controls are small apps that allow websites to provide content such as videos and games. They also let you interact with content like toolbars and stock tickers when you browse the web. However, these apps can sometimes malfunction, or give you content that you don't want. source...
Step to fix it:
Follow the steps below to allow ActiveX content.
1. Open Internet Explorer , go to Tools >> Internet Options
2. Click on Advanced Tab and scroll down to find the Security section.
3. Enable the checkbox labeled “Allow active content to run in files on My Computer” and “Allow Active Content from CDs to run on My Computer”.
4. Click Ok, close Internet Explorer and restart it, after restart you will not see any ActiveX warning when you play any active content like flash animations, JavaScript menus on web pages etc. source...