1) Open Internet Explorer
2) Click Tools
3) Click the Security Tab
4) Click Custom Levels

5) In the window that opens look for the entry:
ActiveX Controls and Plug-ins.

6) You want to disable
"Download Unsigned ActiveX controls"

7) You want to prompt
"Download signed ActiveX Controls"

This will allow you to see an ActiveX control and who it's from before it's installed. Please make sure to do a bit of researching before you allow the application to install. Never blindly trust an active X control just because it's signed or looks trustworthy.

Anyone can get a signed Active X control, just because it is signed does not mean it is a safe control.

Windows Service Pack 2 for XP now addresses some of the issues of ActiveX controls.