The request for ActiveX downloads is a security feature implemented to prevent websites from running content (viruses and malware) on your computer without your consent/knowledge. Usually when this happens you get a small pop-up under your browser menu, all you have to do is click allow ActiveX downloads for this site, and you're set.
If you find this particularly aggravating, you may want to consider switching browsers to firefox, which doesn't have this pop-up.
Jocelyn
eSpace Webservices
admin@espacehosting.com