Did you install this recent update?
Internet Explorer ActiveX update
"After you install this update, you cannot interact with ActiveX controls from certain Web pages until these controls are enabled. To enable an ActiveX control, manually click the control. There are also techniques that Web developers can use to update their Web pages. For more information about these techniques, visit the following MSDN Web site:"
This is a recent change to the way Internet Explorer is going to handle these type of Activex web pages.
If you uninstall that update you may not receive any more IE Security Updates (according to a private Microsoft document I read). They are relying on the Web Sites to change the behavior and it is out of the hands of the normal user/surfer.
There maybe a temporary workaround for a few months, but that has not been released yet, but maybe released later this month.
"Microsoft will be releasing an optional IE Active X Compatibility Patch, to be available the same day as the IE ActiveX update. Once deployed, the optional patch will temporarily return IE to the previous functionality for handling ActiveX controls. This optional patch will function until the June IE cumulative update is released at which time the changes to the way Internet Explorer handles ActiveX controls will be permanent."