One place to look is in Internet Explorer: Tools/Internet Options/Security Settings. The Security Level Control has several boxes relating to ActiveX controls, in particular Run ActiveX Controls and Plug-Ins. Have a look at that setting and see if you have it disabled (I have mine set to Prompt and I don't normally allow them to run unless I feel reasonably sure about a site).

Otherwise the firewall may be stopping them. I haven't looked at the SP2 Firewall settings - I have Norton IS and disable the system one - so without checking I wouldn't know the settings.

Mick