you can just disable activex, if a website really wants you to install software on your computer (which is what activex controls are) just to access their site, do you really want to go there?
in 99% of cases simply disabling activex the pages will still load fine and no more "please install our crap" alerts, the few that don't - you probably don't want to access anyway if they demand you install software to access it
in internet explorer under internet options on security you can disable activex controls either by setting it more secure, or by selecting customize and disabling activex... or just use firefox which doesn't have that security flaw in the first place