By default ActiveX is limited (although it has a history of security flaws that break through some of the limitations) but with XP/SP2 it's fairly well locked down unless you decide otherwise.
But there are still many people running earlier versions of XP as well as 98, ME and 2000.
The big difference between ActiveX formatting your hard drive and you downloading a program that does it is that with one the only action that is required of you is to open the webpage. The other at least gives your anti-virus program a chance to catch it. Either way I too avoid webpages with ActiveX, except for the Windows Update Page.
goates