Greetz

Just a quick question about web page design.
Say a person had made a web page and wanted to put some flash movies on, but they dont want to have the links going to a fresh page each time somone wants to see one.
They want one of those boxes to open and the page to stay the same.

I asked a mate about this but he said active x's ? i looked around on the net but i cant seem to find anything i can use.
Would this be html code, java or what ?
any input mucho thanks