ActiveX controls provides a set of rules for how other programs should share information with one another. So I guess you could say they're kind of like plugins.
In your case, the ActiveX controls that are wanting to be installed and run onto your computer would probably give added features to the site you are about to view. Either to make it more interactive and/or make it plain out right cooler. Unfortunately, ActiveX controls have a "dark side" to them.
Hackers have been known to use this technology to create their own ActiveX controls to find exploits. Exploits, such as, sending viruses and break into people's computers viewing/stealing information if they so choose too. So, because of your settings, you will get that message to warn you of the potential harm that could occur whenever you view a site that requires an ActiveX control to be installed and/or run on your computer.
If you are computer savvy and you know lots of other people (who are good with computers) who go to these sites and they don't have any problems I would recommend allowing the website to run or install the controller. Especially if the website is, for example, Myspace.com. Websites that you know are popular are no doubt safe. One word of caution though. Just because their site is safe doesn't mean their advertisers are.
(Recently I heard on the news, an advertisement on MySpace's website infected MySpace's users computers with a b.s. program [harmless but annoying as heck] when they clicked on the banner that took them to the advertisers website.)
If you don't feel comfortable with your own judgment or judgment of your friends no better way than to find out than by asking on here.
If you're like me, computer savvy, you have the virus scanner and the firewalls, etc. to protect you and you want to get rid of that annoying message you can. In Internet Explorer click on Tools ---> Internet Options ---> Security (the tab that's between General & Privacy at the top) and you can either decrease the security level for the Internet or customize it by clicking on the custom button. Scroll thru the list where you'll eventually come to the setting where it talks about the ActiveX controls.
Another way to protect yourself is to download Firefox. Once you download Firefox there are two important extensions [aka plugins] (as they are called) you should download - McAfee SiteAdvisor Firefox Extension and NoScript.
If you're using a search engine to find something, McAfee will have an indicator on the side of the website description to let you know if the website is safe or not.
NoScript will disable any script from running on a webpage and will notify you if it detects a script that wants to run. That way you'll have a choice to decide whether or not you want to either temporarily run the script or always run it when you visit that website. I have sources for you so that you can learn all about this if you choose to.
Nowadays, maintaining a computer is kinda like maintaining a car. It can be stressful and sometimes costly if you don't know how to take care of it.