In Internet Explorer, Tools->Internet Options
Security Tab
Internet Zone (Maybe Intranet Zone if you are connected via a VPN or on a work network)
Go down and click "Custom Level"
Set "Download unsigned ActiveX Controls" to "Prompt"
OK out of all dialogs.
Might have to restart Internet Explorer but it should give you the option to override the prompt, assuming this setting was responsible (The default is to deny outright, so if it is a clean install that seems likely)