What happens when you try to install it? what does it say or do?
I'm going to go out on a limb but report one problem I've seen with installing certain active x controls and how I fixed it, maybe it is like your situation and will help... or maybe they're not related at all.
Some websites that want you to download an active x control, it will pop up that it is blocked or that it needs your permission, then when you tell it you do infact want to install it, IE7 does a quick little refresh (or you have to tell it to refresh because its just siting there not doing anything.) then all of a sudden it forgot that you had authorized it to download an install the active x control, so it prompts you again, and thus the cycle continues.
If thats the case, the one way around it I have found, is if you truly do trust the site you are downloading the control from you can add it to your trusted sites and thus put it in the trusted zone so it won't prompt you for permission it will just go ahead and do it.
If you don't know, this is located in internet options on the security tab. trusted sites, sites, and you'll probably need to remove the checkmark where it says that https is required.
Again, I'm just taking a shot in the dark, if this isn't the problem you're experiencing, then I'm sorry, We can try again with more information.
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