Look at ActiveX as a little script that accompanies a webpage. Whenever you load that page, the script is coming along for the ride and wanting to ‘activate’ once that webpage is loaded into your browser. It’s a teeny tiny program. It’s usually trivial, like making an icon or banner spin around, or make a message start flashing or changing, ‘Buy X-10 NOW!’ ‘NOW DAMMIT!’, that kind of thing. To get it to do that, or anything interactive like that from within an already downloaded webpage, it needs to run an ActiveX script- a little program that makes it change or do its thing.
If you’re ActiveX controls are set high, as in ‘I don’t want these scripts ever to work when I visit a website’ (Which is a very good thing, by the way, not having them able to run), then you’ll get the message you saw. In effect, the message is saying, ‘Because of your security settings, the program that makes that little ad over there spin around and change colors isn’t allowed to run. Things aren’t going to look the way we wanted them to look. To get that ad to start spinning around again, allow ActiveX controls in… blah blah blah.’.
It’s been my experience that you’re not missing anything by not having ActiveX scripts enabled. What your missing is a lot of ‘interactive’ nonsense that some websites want to add to their pages. Considering the possible missuse of these scripts by nefarious types, it’s a good thing to keep them disabled.
It’s a very simplistic way to look at it, but it’s pretty close to what’s going on.