The easiest way to get to your ActiveX settings is to Open Internet Explorer, click on the Tools tab, click on Internet Options, click on the Security tab, and then click on the Custom Level button. You will see several options for different settings; go down the list and make the appropriate changes, for example:
This is how I have my ActiveX settings; you can use this as a guide to set your own (If you Enable all the options, you are leaving your system open to unwanted intrusions.):
Download signed ActiveX controls -- Prompt
Download unsigned ActiveX controls -- Disable
Initialize and script ActiveX controls not marked as safe -- Disable
Run ActiveX controls and plug-ins -- Enable
Script ActiveX controls marked safe for scripting -- Enable
The more of these you have Disabled, the safer your system is, but there will be sites that you can't access. Prompting is the next best thing, but constantly clicking OK can be tedious and you usually don't know whether it should be allowed or not. The described combination works best for me, but not be best for you -- it is just shown as a reference.
You should post your hijackthis log in the Virus forum for review.