ActiveX is a way for a website to install and run a program on your computer with all your privileges. In terms of what it can do, it's no different to if you downloaded and ran a program from the website yourself. For that reason, it's a really common method for spyware distribution.

Good practices:
  • Just say no. The worst thing that can happen then is that a web page won't display properly (and that's what the reload button is for). If nothing breaks, you didn't need it.
  • If you decide that you do want to install an ActiveX control, think about its source. Is the website you're at really the sort of place you want to be trusting software from? Is the company name in the warning box a company you trust? If not, you probably don't want it after all.