ActiveX controls allow Web developers to create interactive, dynamic Web pages with lots of functionality but also can be used by an attacker to run code in your system; ActiveX control runs automatically when the page is viewed so it's kind of a serious threath if you dont tweak the security in IE.

I find this software pretty useful when it comes to filter activex, java script, pop ups among others maybe you would like to take a look at it.
http://www.popupcop.com/