Did you see a yellow bar across the top of the window? If you think the site is safe then it is OK to allow the Active X component.
"Microsoft ActiveX Opt-InInternet Explorer 7 disables all ActiveX controls which were not used in Internet Explorer 6. When users encounter an ActiveX control for the first time, they will see a gold bar asking if they want to use the control. Users can then selectively allow or prevent running the control. Note: By default, the ActiveX Opt-in does not apply to Intranet and Trusted Site zones; new controls on those zones, along with a list of preapproved controls, also run without prompting."