Windows XP Service Pack 2 added an Information Bar to Internet Explorer which presents a warning message when downloading an ActriveX control from a web page. To disable or enable this for ActiveX controls:

From the Internet Explorer menu, Tools->Internet Options, Security Tab, Custom Level: ActiveX controls and plug-ins -> Automatic prompting for ActiveX controls. Set to enable to turn off the information bar for ActiveX. Set to disable to turn on the information bar for ActiveX.