Ok, read a few notes on ActiveX.
Almost every major browsers supports ActiveX, but the thing is, its disables by default in Firefox and Chrome. ActiveX is enabled by default in IE, but throws a warning, since IE also knows that ActiveX can cause a security issue.
Btw, ActiveX can be compared to Applets made in Java. With big differences like, ActiveX can work only on Microsoft OS, whereas Applet is cross platform. Also Applets are a LOT secure due to the virtual environment that it provides to run the applet.
@OP: I am assuming, you are using IE. You can disable the warning by going to Tools -> Internet Options, and then Checking the "Allow active content to run ..." options, under Advanced tab.
As I said, it's an obsolete technology. Better learn some modern languages.