The files in the Downloaded Program files are not hidden (except for desktop.ini).
However these are the files that some activeX component would like to use, not the activeX entry itself.
The activeX entries are held in the registry, which is what is displayed when you open this folder.
Try this for size as to how to remove an activeX control: http://support.microsoft.com/?kbid=154850

So I suspect the registry entries have been deleted without cleaning up the folder, which explains why you have files left there.
Selecting 'Properties' and 'Dependency' from this folder (for a valid registry entry) will tell you which files are required for that activeX control.
No valid registry entries means this folder will display as empty under WinXP, whereas a DIR will display the files that were originally required.