uuhhh, ActiveX is a method for downloading / running "applet"-type things either embedded into an IE browser or as stand-alone programs that run in another frame. You can't "download" activeX - you probably just have to enable it. In IE, go to:
tools -> internet options -> security
click "custom level"
Then you can either set the settings for activeX controls to "enabled", "disabled", or "prompt." I personally always use "prompt," but you can set it to whatever you like.