Active-X is part of Microsoft's Component Object Model (COM)
Read about it at
http://en.wikipedia.org/wiki/Component_Object_Model
"The embedding of ActiveX into the Internet Explorer web browser created a combination of functions that has led to an explosion of computer virus, trojan and spyware infections. These malware attacks mostly depend on ActiveX for their activation and propagation to other computers. Microsoft recognized the problem with ActiveX as far back as 1996 when Charles Fitzgerald, program manager of Microsoft's Java team said "If you want security on the 'Net', unplug your computer. ... We never made the claim up front that ActiveX is intrinsically secure." [1] ActiveX as it is currently implemented is intrinsically insecure and is the biggest weakness of Internet Explorer not addressed by Internet Explorer Service Pack 2."
Basically it means that controls can download themselves to your PC and execute with full privileges. This is attractive for honest apps, but dangerous for malware. Unfortunately some websites (like Microsoft's System Update) require it for their controls. Malware may attempt to use Active-X to place Adware/Spyware on your PC. Strictly speaking you don't need Active-X, but you can't remove it, only disable it.
Best to switch to Firefox, a much better browser that doesn't have Internet Explorer's security concerns, for your day-to-day browsing.
Get Firefox:
http://www.mozilla.org/products/firefox/
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"Bother," said Pooh as he struggled with /etc/sendmail.cf, "it never does quite what I want. I wish Christopher Robin was here."